IMPORTANT: Please make sure you create a copy of this file with a customized name, so that your work (e.g. answers to the questions) is not over-written when you pull the latest content from the course github.
The purpose of this exercise is to become familiar with:
As always, while doing this exercise we will also see how to generate replicable and customizable reports. For this purpose the exercise uses the R Markdown capabilities (see Markdown Cheat Sheet or a basic introduction to R Markdown). These capabilities allow us to create dynamic reports. For example today’s date is 2017-01-27 (you need to see the .Rmd to understand that this is not a static typed-in date but it changes every time you compile the .Rmd - if the date changed of course).
Before starting, make sure you have pulled the exercise set 2 souce code files on your github repository (if you pull the course github repository you also get the exercise set files automatically). Moreover, make sure you are in the directory of this exercise. Directory paths may be complicated, and sometimes a frustrating source of problems, so it is recommended that you use these R commands to find out your current working directory and, if needed, set it where you have the main files for the specific exercise/project (there are other ways, but for now just be aware of this path issue). For example, assuming we are now in the “Data Analytics R version/INSEADAnalytics” directory, we can do these:
getwd()
setwd("Exercises/Exerciseset2/")
list.files()
Note: as always, you can use the help command in Rstudio to find out about any R function (e.g. type help(list.files) to learn what the R function list.files does).
Let’s now see the exercise.
IMPORTANT: You should answer all questions by simply adding your code/answers in this document through editing the file ExerciseSet2.Rmd and then clicking on the “Knit HTML” button in RStudio. Once done, please post your .Rmd and html files in your github repository.
For this exercise we will use the Futures’ daily returns to develop what is considered to be a “classic” hedge fund trading strategy, a futures trend following strategy. There is a lot written about this, so it is worth doing some online search about “futures trend following”, or “Managed Futures”, or “Commodity Trading Advisors (CTA)”. There is about $300 billion invested on this strategy today, and is considered to be one of the oldest hedge fund strategies. Some example links are:
Of course there are also many starting points for developing such a strategy (for example this R bloggers one (also on github), or the turtle traders website which has many resources.
In this exercise we will develop our own strategy from scratch.
Note (given today’s market conditions): Prices of commodities, like oil or gold, can be excellent indicators of the health of the economy and of various industries, as we will also see below.
There are many ways to get futures data. For example, one can use the Quandl package, or the turtle traders resources, or (for INSEAD only) get data from the INSEAD library finance data resources website. One has to pay attention on how to create continuous time series from underlying contracts with varying deliveries (e.g. see here ). Using a combination of the resources above, we will use data for a number of commodities.
Let’s load the data and see what we have.
suppressPackageStartupMessages(source("helpersSet2.R"))
load("data/FuturesTrendFollowingData.Rdata")
We have data from 2001-01-02 to 2015-09-24 of daily returns for the following 64 futures:
print(colnames(futures_data))
## [1] "Corn" "Wheat" "Soybeans"
## [4] "Soybean Oil" "Soybean Meal" "Lean Hoggs"
## [7] "Sugar" "Coffee" "Cocoa"
## [10] "Cotton" "Canola" "Orange Juice"
## [13] "Lumber" "Natural Gas" "Crude Oil"
## [16] "Brent Crude" "Heating Oil" "Kerosene"
## [19] "Gas Oil" "Gasoline" "Copper NY"
## [22] "Copper LDN" "Silver" "Gold"
## [25] "Platinum" "Palladium" "Aluminium"
## [28] "Zinc" "Nickel" "Treasury Bonds"
## [31] "5 yr T-Notes US" "2 yr T-Note US" "10yr T-Notes"
## [34] "Euro-Bund" "Euro-Bobl" "Euro-Schatz"
## [37] "Canadian Bond" "JGB Japan" "Gilts UK"
## [40] "Euroyen" "Eurodollar" "Euroswiss"
## [43] "Euribor" "SP500 E-Mini" "DAX 30"
## [46] "Eurostoxx" "Hang Seng" "FTSE 100 UK"
## [49] "Nasdaq 100 Mini" "Russel 2000 E-Mini" "Dow Jones"
## [52] "TSE Toronto" "CAC 40 France" "OMX 30 Stockholm"
## [55] "NIKKEI 225" "Euro" "Norwegian Krone"
## [58] "New Zealand Dollar" "Australian Dollar" "British Pound"
## [61] "Canadian Dollar" "Swiss Franc" "Japanese Yen"
## [64] "Singapore Dollar"
Let’s see how these are correlated. The correlation matrix is as follows:
| Corn | Wheat | Soybeans | Soybean Oil | Soybean Meal | Lean Hoggs | Sugar | Coffee | Cocoa | Cotton | Canola | Orange Juice | Lumber | Natural Gas | Crude Oil | Brent Crude | Heating Oil | Kerosene | Gas Oil | Gasoline | Copper NY | Copper LDN | Silver | Gold | Platinum | Palladium | Aluminium | Zinc | Nickel | Treasury Bonds | 5 yr T-Notes US | 2 yr T-Note US | 10yr T-Notes | Euro-Bund | Euro-Bobl | Euro-Schatz | Canadian Bond | JGB Japan | Gilts UK | Euroyen | Eurodollar | Euroswiss | Euribor | SP500 E-Mini | DAX 30 | Eurostoxx | Hang Seng | FTSE 100 UK | Nasdaq 100 Mini | Russel 2000 E-Mini | Dow Jones | TSE Toronto | CAC 40 France | OMX 30 Stockholm | NIKKEI 225 | Euro | Norwegian Krone | New Zealand Dollar | Australian Dollar | British Pound | Canadian Dollar | Swiss Franc | Japanese Yen | Singapore Dollar | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Corn | 1.00 | 0.63 | 0.60 | 0.51 | 0.52 | 0.02 | 0.21 | 0.17 | 0.10 | 0.23 | 0.45 | 0.06 | 0.08 | 0.12 | 0.24 | 0.25 | 0.22 | 0.02 | 0.15 | 0.25 | 0.23 | 0.22 | 0.23 | 0.18 | 0.13 | 0.17 | 0.20 | 0.18 | 0.16 | -0.08 | -0.07 | -0.05 | -0.07 | -0.08 | -0.06 | -0.08 | -0.07 | -0.03 | -0.06 | -0.01 | -0.01 | -0.05 | -0.07 | 0.14 | 0.13 | 0.13 | 0.08 | 0.16 | 0.10 | 0.12 | 0.11 | 0.18 | 0.13 | 0.15 | 0.05 | 0.17 | 0.20 | 0.18 | 0.21 | 0.16 | -0.20 | 0.11 | -0.02 | 0.17 |
| Wheat | 0.63 | 1.00 | 0.45 | 0.42 | 0.39 | 0.03 | 0.20 | 0.18 | 0.09 | 0.22 | 0.38 | 0.03 | 0.07 | 0.09 | 0.21 | 0.21 | 0.18 | 0.00 | 0.12 | 0.21 | 0.21 | 0.21 | 0.20 | 0.16 | 0.12 | 0.15 | 0.17 | 0.17 | 0.14 | -0.10 | -0.09 | -0.07 | -0.09 | -0.07 | -0.06 | -0.06 | -0.07 | -0.02 | -0.06 | -0.01 | -0.04 | -0.06 | -0.06 | 0.13 | 0.13 | 0.13 | 0.06 | 0.15 | 0.10 | 0.13 | 0.11 | 0.17 | 0.13 | 0.13 | 0.05 | 0.16 | 0.20 | 0.18 | 0.20 | 0.15 | -0.20 | 0.12 | 0.00 | 0.16 |
| Soybeans | 0.60 | 0.45 | 1.00 | 0.74 | 0.84 | 0.04 | 0.20 | 0.16 | 0.12 | 0.26 | 0.64 | 0.08 | 0.08 | 0.11 | 0.27 | 0.27 | 0.25 | 0.04 | 0.18 | 0.28 | 0.28 | 0.26 | 0.24 | 0.17 | 0.17 | 0.21 | 0.23 | 0.21 | 0.18 | -0.12 | -0.11 | -0.09 | -0.11 | -0.11 | -0.10 | -0.10 | -0.09 | -0.02 | -0.12 | -0.02 | -0.05 | -0.09 | -0.09 | 0.15 | 0.17 | 0.17 | 0.13 | 0.20 | 0.11 | 0.14 | 0.13 | 0.20 | 0.18 | 0.20 | 0.08 | 0.17 | 0.22 | 0.19 | 0.25 | 0.17 | -0.22 | 0.11 | -0.01 | 0.21 |
| Soybean Oil | 0.51 | 0.42 | 0.74 | 1.00 | 0.47 | 0.04 | 0.20 | 0.18 | 0.13 | 0.28 | 0.64 | 0.10 | 0.09 | 0.13 | 0.34 | 0.34 | 0.31 | 0.09 | 0.25 | 0.37 | 0.32 | 0.30 | 0.29 | 0.23 | 0.20 | 0.24 | 0.27 | 0.25 | 0.22 | -0.14 | -0.12 | -0.09 | -0.12 | -0.11 | -0.10 | -0.11 | -0.10 | -0.02 | -0.13 | 0.00 | -0.04 | -0.08 | -0.08 | 0.20 | 0.20 | 0.20 | 0.19 | 0.25 | 0.14 | 0.19 | 0.18 | 0.24 | 0.22 | 0.24 | 0.12 | 0.20 | 0.26 | 0.24 | 0.30 | 0.21 | -0.28 | 0.13 | -0.05 | 0.23 |
| Soybean Meal | 0.52 | 0.39 | 0.84 | 0.47 | 1.00 | 0.02 | 0.16 | 0.13 | 0.09 | 0.20 | 0.51 | 0.08 | 0.07 | 0.09 | 0.17 | 0.17 | 0.16 | 0.02 | 0.11 | 0.17 | 0.20 | 0.18 | 0.17 | 0.12 | 0.12 | 0.15 | 0.16 | 0.15 | 0.13 | -0.08 | -0.08 | -0.07 | -0.08 | -0.07 | -0.07 | -0.07 | -0.06 | -0.02 | -0.08 | -0.01 | -0.04 | -0.07 | -0.07 | 0.10 | 0.13 | 0.13 | 0.09 | 0.15 | 0.08 | 0.09 | 0.09 | 0.15 | 0.13 | 0.15 | 0.07 | 0.13 | 0.16 | 0.15 | 0.19 | 0.12 | -0.17 | 0.08 | 0.01 | 0.16 |
| Lean Hoggs | 0.02 | 0.03 | 0.04 | 0.04 | 0.02 | 1.00 | 0.03 | 0.02 | 0.03 | 0.02 | 0.01 | 0.01 | 0.03 | 0.04 | 0.07 | 0.06 | 0.05 | -0.02 | 0.02 | 0.05 | 0.06 | 0.06 | 0.02 | 0.01 | 0.05 | 0.04 | 0.05 | 0.07 | 0.06 | -0.04 | -0.05 | -0.04 | -0.04 | -0.04 | -0.03 | -0.02 | -0.04 | 0.01 | -0.05 | 0.00 | -0.05 | -0.05 | -0.04 | 0.04 | 0.04 | 0.06 | 0.01 | 0.06 | 0.01 | 0.02 | 0.03 | 0.05 | 0.06 | 0.04 | 0.02 | 0.00 | 0.01 | 0.01 | 0.02 | 0.02 | -0.03 | -0.02 | -0.03 | 0.01 |
| Sugar | 0.21 | 0.20 | 0.20 | 0.20 | 0.16 | 0.03 | 1.00 | 0.22 | 0.15 | 0.19 | 0.17 | 0.06 | 0.04 | 0.07 | 0.20 | 0.19 | 0.17 | 0.02 | 0.14 | 0.19 | 0.23 | 0.21 | 0.18 | 0.13 | 0.12 | 0.16 | 0.19 | 0.18 | 0.16 | -0.07 | -0.06 | -0.04 | -0.06 | -0.09 | -0.10 | -0.09 | -0.05 | 0.00 | -0.08 | 0.00 | -0.01 | -0.04 | -0.06 | 0.11 | 0.12 | 0.13 | 0.08 | 0.15 | 0.08 | 0.11 | 0.08 | 0.13 | 0.13 | 0.14 | 0.08 | 0.13 | 0.15 | 0.17 | 0.20 | 0.13 | -0.15 | 0.09 | -0.04 | 0.16 |
| Coffee | 0.17 | 0.18 | 0.16 | 0.18 | 0.13 | 0.02 | 0.22 | 1.00 | 0.18 | 0.16 | 0.12 | 0.06 | 0.07 | 0.05 | 0.15 | 0.14 | 0.13 | 0.04 | 0.12 | 0.15 | 0.19 | 0.18 | 0.20 | 0.15 | 0.13 | 0.17 | 0.17 | 0.17 | 0.15 | -0.06 | -0.05 | -0.03 | -0.05 | -0.06 | -0.06 | -0.06 | -0.05 | 0.00 | -0.05 | -0.01 | -0.01 | -0.05 | -0.04 | 0.12 | 0.13 | 0.13 | 0.11 | 0.13 | 0.07 | 0.12 | 0.11 | 0.14 | 0.13 | 0.14 | 0.07 | 0.15 | 0.17 | 0.19 | 0.20 | 0.15 | -0.17 | 0.08 | 0.00 | 0.16 |
| Cocoa | 0.10 | 0.09 | 0.12 | 0.13 | 0.09 | 0.03 | 0.15 | 0.18 | 1.00 | 0.12 | 0.08 | 0.05 | 0.06 | 0.04 | 0.16 | 0.15 | 0.13 | 0.06 | 0.15 | 0.14 | 0.17 | 0.17 | 0.21 | 0.18 | 0.13 | 0.14 | 0.16 | 0.16 | 0.12 | -0.08 | -0.06 | -0.02 | -0.07 | -0.10 | -0.09 | -0.06 | -0.07 | -0.01 | -0.09 | -0.03 | -0.01 | -0.05 | -0.05 | 0.10 | 0.11 | 0.12 | 0.12 | 0.11 | 0.06 | 0.11 | 0.09 | 0.13 | 0.13 | 0.14 | 0.07 | 0.21 | 0.22 | 0.22 | 0.23 | 0.24 | -0.20 | 0.14 | 0.01 | 0.19 |
| Cotton | 0.23 | 0.22 | 0.26 | 0.28 | 0.20 | 0.02 | 0.19 | 0.16 | 0.12 | 1.00 | 0.22 | 0.08 | 0.07 | 0.04 | 0.20 | 0.20 | 0.18 | 0.03 | 0.16 | 0.19 | 0.23 | 0.22 | 0.17 | 0.13 | 0.10 | 0.15 | 0.19 | 0.18 | 0.18 | -0.10 | -0.10 | -0.08 | -0.10 | -0.09 | -0.09 | -0.10 | -0.08 | -0.02 | -0.08 | 0.01 | -0.06 | -0.07 | -0.07 | 0.17 | 0.16 | 0.17 | 0.09 | 0.18 | 0.13 | 0.16 | 0.15 | 0.18 | 0.17 | 0.17 | 0.05 | 0.17 | 0.20 | 0.17 | 0.21 | 0.15 | -0.20 | 0.11 | -0.01 | 0.17 |
| Canola | 0.45 | 0.38 | 0.64 | 0.64 | 0.51 | 0.01 | 0.17 | 0.12 | 0.08 | 0.22 | 1.00 | 0.06 | 0.06 | 0.06 | 0.17 | 0.19 | 0.16 | 0.03 | 0.11 | 0.21 | 0.18 | 0.16 | 0.18 | 0.13 | 0.12 | 0.15 | 0.15 | 0.14 | 0.12 | -0.09 | -0.09 | -0.07 | -0.08 | -0.06 | -0.07 | -0.09 | -0.05 | -0.02 | -0.07 | -0.01 | -0.05 | -0.06 | -0.09 | 0.09 | 0.10 | 0.10 | 0.11 | 0.13 | 0.07 | 0.07 | 0.07 | 0.16 | 0.11 | 0.13 | 0.06 | 0.09 | 0.13 | 0.11 | 0.15 | 0.10 | -0.06 | 0.05 | -0.02 | 0.12 |
| Orange Juice | 0.06 | 0.03 | 0.08 | 0.10 | 0.08 | 0.01 | 0.06 | 0.06 | 0.05 | 0.08 | 0.06 | 1.00 | 0.04 | 0.05 | 0.10 | 0.08 | 0.08 | 0.04 | 0.08 | 0.09 | 0.09 | 0.08 | 0.10 | 0.06 | 0.06 | 0.07 | 0.10 | 0.07 | 0.08 | -0.05 | -0.03 | -0.02 | -0.04 | -0.06 | -0.06 | -0.06 | -0.07 | -0.03 | -0.06 | -0.02 | -0.01 | -0.02 | -0.04 | 0.08 | 0.08 | 0.09 | 0.07 | 0.10 | 0.06 | 0.06 | 0.08 | 0.10 | 0.08 | 0.11 | 0.07 | 0.06 | 0.05 | 0.07 | 0.09 | 0.03 | -0.09 | 0.03 | -0.03 | 0.07 |
| Lumber | 0.08 | 0.07 | 0.08 | 0.09 | 0.07 | 0.03 | 0.04 | 0.07 | 0.06 | 0.07 | 0.06 | 0.04 | 1.00 | 0.00 | 0.07 | 0.07 | 0.07 | 0.04 | 0.05 | 0.09 | 0.12 | 0.11 | 0.07 | 0.02 | 0.03 | 0.06 | 0.10 | 0.08 | 0.09 | -0.10 | -0.11 | -0.09 | -0.11 | -0.08 | -0.08 | -0.07 | -0.09 | 0.01 | -0.10 | -0.01 | -0.07 | -0.08 | -0.06 | 0.12 | 0.14 | 0.14 | 0.08 | 0.14 | 0.12 | 0.10 | 0.11 | 0.10 | 0.14 | 0.12 | 0.04 | 0.05 | 0.08 | 0.09 | 0.11 | 0.08 | -0.09 | 0.01 | -0.07 | 0.09 |
| Natural Gas | 0.12 | 0.09 | 0.11 | 0.13 | 0.09 | 0.04 | 0.07 | 0.05 | 0.04 | 0.04 | 0.06 | 0.05 | 0.00 | 1.00 | 0.29 | 0.27 | 0.34 | 0.00 | 0.20 | 0.16 | 0.10 | 0.09 | 0.08 | 0.07 | 0.04 | 0.06 | 0.09 | 0.06 | 0.05 | -0.02 | -0.02 | -0.02 | -0.02 | 0.00 | 0.00 | 0.01 | -0.02 | -0.01 | -0.01 | 0.00 | -0.01 | -0.01 | 0.00 | 0.04 | 0.04 | 0.03 | 0.03 | 0.04 | 0.02 | 0.03 | 0.03 | 0.10 | 0.04 | 0.04 | 0.03 | 0.07 | 0.07 | 0.07 | 0.09 | 0.06 | -0.10 | 0.06 | 0.01 | 0.05 |
| Crude Oil | 0.24 | 0.21 | 0.27 | 0.34 | 0.17 | 0.07 | 0.20 | 0.15 | 0.16 | 0.20 | 0.17 | 0.10 | 0.07 | 0.29 | 1.00 | 0.89 | 0.84 | 0.10 | 0.56 | 0.66 | 0.37 | 0.35 | 0.29 | 0.26 | 0.20 | 0.24 | 0.30 | 0.27 | 0.25 | -0.20 | -0.14 | -0.10 | -0.17 | -0.15 | -0.14 | -0.12 | -0.15 | -0.02 | -0.14 | -0.03 | -0.05 | -0.08 | -0.08 | 0.23 | 0.19 | 0.20 | 0.15 | 0.25 | 0.13 | 0.23 | 0.19 | 0.33 | 0.22 | 0.25 | 0.10 | 0.23 | 0.32 | 0.25 | 0.32 | 0.22 | -0.34 | 0.13 | -0.06 | 0.25 |
| Brent Crude | 0.25 | 0.21 | 0.27 | 0.34 | 0.17 | 0.06 | 0.19 | 0.14 | 0.15 | 0.20 | 0.19 | 0.08 | 0.07 | 0.27 | 0.89 | 1.00 | 0.85 | 0.11 | 0.62 | 0.69 | 0.36 | 0.34 | 0.29 | 0.25 | 0.20 | 0.24 | 0.29 | 0.27 | 0.25 | -0.17 | -0.13 | -0.09 | -0.14 | -0.13 | -0.12 | -0.10 | -0.13 | -0.02 | -0.12 | -0.01 | -0.03 | -0.08 | -0.07 | 0.23 | 0.18 | 0.19 | 0.16 | 0.25 | 0.13 | 0.24 | 0.19 | 0.33 | 0.22 | 0.25 | 0.12 | 0.23 | 0.31 | 0.26 | 0.32 | 0.24 | -0.34 | 0.14 | -0.05 | 0.24 |
| Heating Oil | 0.22 | 0.18 | 0.25 | 0.31 | 0.16 | 0.05 | 0.17 | 0.13 | 0.13 | 0.18 | 0.16 | 0.08 | 0.07 | 0.34 | 0.84 | 0.85 | 1.00 | 0.10 | 0.64 | 0.63 | 0.31 | 0.30 | 0.26 | 0.23 | 0.18 | 0.21 | 0.25 | 0.24 | 0.21 | -0.14 | -0.10 | -0.08 | -0.11 | -0.10 | -0.09 | -0.08 | -0.11 | -0.01 | -0.09 | -0.02 | -0.03 | -0.06 | -0.05 | 0.19 | 0.15 | 0.15 | 0.13 | 0.20 | 0.11 | 0.21 | 0.16 | 0.28 | 0.18 | 0.21 | 0.10 | 0.20 | 0.26 | 0.22 | 0.28 | 0.20 | -0.30 | 0.13 | -0.03 | 0.21 |
| Kerosene | 0.02 | 0.00 | 0.04 | 0.09 | 0.02 | -0.02 | 0.02 | 0.04 | 0.06 | 0.03 | 0.03 | 0.04 | 0.04 | 0.00 | 0.10 | 0.11 | 0.10 | 1.00 | 0.28 | 0.10 | 0.09 | 0.10 | 0.08 | 0.05 | 0.14 | 0.15 | 0.10 | 0.08 | 0.07 | -0.03 | -0.01 | 0.00 | -0.02 | -0.08 | -0.06 | -0.05 | -0.02 | -0.14 | -0.11 | -0.05 | 0.02 | -0.04 | -0.02 | 0.04 | 0.07 | 0.09 | 0.23 | 0.11 | 0.01 | 0.04 | 0.03 | 0.08 | 0.08 | 0.11 | 0.33 | 0.05 | 0.12 | 0.11 | 0.12 | 0.10 | -0.11 | 0.04 | -0.13 | 0.05 |
| Gas Oil | 0.15 | 0.12 | 0.18 | 0.25 | 0.11 | 0.02 | 0.14 | 0.12 | 0.15 | 0.16 | 0.11 | 0.08 | 0.05 | 0.20 | 0.56 | 0.62 | 0.64 | 0.28 | 1.00 | 0.40 | 0.29 | 0.30 | 0.24 | 0.19 | 0.18 | 0.21 | 0.25 | 0.25 | 0.21 | -0.11 | -0.07 | -0.04 | -0.09 | -0.10 | -0.09 | -0.07 | -0.09 | -0.03 | -0.11 | -0.01 | -0.01 | -0.06 | -0.04 | 0.13 | 0.15 | 0.16 | 0.14 | 0.21 | 0.08 | 0.15 | 0.11 | 0.19 | 0.17 | 0.21 | 0.09 | 0.20 | 0.29 | 0.23 | 0.27 | 0.20 | -0.31 | 0.16 | -0.03 | 0.21 |
| Gasoline | 0.25 | 0.21 | 0.28 | 0.37 | 0.17 | 0.05 | 0.19 | 0.15 | 0.14 | 0.19 | 0.21 | 0.09 | 0.09 | 0.16 | 0.66 | 0.69 | 0.63 | 0.10 | 0.40 | 1.00 | 0.36 | 0.34 | 0.28 | 0.23 | 0.21 | 0.25 | 0.30 | 0.27 | 0.26 | -0.18 | -0.15 | -0.10 | -0.16 | -0.15 | -0.15 | -0.15 | -0.15 | -0.02 | -0.14 | -0.05 | -0.06 | -0.11 | -0.12 | 0.26 | 0.22 | 0.23 | 0.18 | 0.28 | 0.16 | 0.26 | 0.23 | 0.35 | 0.25 | 0.28 | 0.13 | 0.19 | 0.28 | 0.23 | 0.31 | 0.21 | -0.31 | 0.10 | -0.08 | 0.22 |
| Copper NY | 0.23 | 0.21 | 0.28 | 0.32 | 0.20 | 0.06 | 0.23 | 0.19 | 0.17 | 0.23 | 0.18 | 0.09 | 0.12 | 0.10 | 0.37 | 0.36 | 0.31 | 0.09 | 0.29 | 0.36 | 1.00 | 0.91 | 0.45 | 0.36 | 0.31 | 0.39 | 0.67 | 0.68 | 0.57 | -0.20 | -0.17 | -0.13 | -0.18 | -0.20 | -0.19 | -0.17 | -0.17 | -0.06 | -0.19 | -0.03 | -0.06 | -0.14 | -0.14 | 0.28 | 0.36 | 0.37 | 0.25 | 0.40 | 0.21 | 0.23 | 0.26 | 0.33 | 0.38 | 0.38 | 0.18 | 0.29 | 0.35 | 0.38 | 0.45 | 0.29 | -0.38 | 0.20 | -0.08 | 0.32 |
| Copper LDN | 0.22 | 0.21 | 0.26 | 0.30 | 0.18 | 0.06 | 0.21 | 0.18 | 0.17 | 0.22 | 0.16 | 0.08 | 0.11 | 0.09 | 0.35 | 0.34 | 0.30 | 0.10 | 0.30 | 0.34 | 0.91 | 1.00 | 0.42 | 0.33 | 0.31 | 0.39 | 0.72 | 0.75 | 0.60 | -0.19 | -0.17 | -0.12 | -0.17 | -0.22 | -0.20 | -0.19 | -0.17 | -0.06 | -0.21 | -0.02 | -0.06 | -0.15 | -0.15 | 0.28 | 0.38 | 0.39 | 0.26 | 0.43 | 0.20 | 0.24 | 0.26 | 0.33 | 0.41 | 0.41 | 0.18 | 0.28 | 0.35 | 0.38 | 0.45 | 0.28 | -0.39 | 0.18 | -0.07 | 0.33 |
| Silver | 0.23 | 0.20 | 0.24 | 0.29 | 0.17 | 0.02 | 0.18 | 0.20 | 0.21 | 0.17 | 0.18 | 0.10 | 0.07 | 0.08 | 0.29 | 0.29 | 0.26 | 0.08 | 0.24 | 0.28 | 0.45 | 0.42 | 1.00 | 0.78 | 0.44 | 0.51 | 0.37 | 0.37 | 0.29 | -0.01 | 0.02 | 0.04 | 0.01 | -0.01 | 0.01 | 0.01 | 0.00 | 0.00 | 0.00 | -0.01 | 0.06 | -0.01 | 0.00 | 0.09 | 0.13 | 0.13 | 0.17 | 0.18 | 0.04 | 0.11 | 0.08 | 0.23 | 0.15 | 0.19 | 0.12 | 0.40 | 0.43 | 0.40 | 0.43 | 0.37 | -0.39 | 0.35 | 0.14 | 0.37 |
| Gold | 0.18 | 0.16 | 0.17 | 0.23 | 0.12 | 0.01 | 0.13 | 0.15 | 0.18 | 0.13 | 0.13 | 0.06 | 0.02 | 0.07 | 0.26 | 0.25 | 0.23 | 0.05 | 0.19 | 0.23 | 0.36 | 0.33 | 0.78 | 1.00 | 0.43 | 0.44 | 0.29 | 0.30 | 0.23 | 0.10 | 0.12 | 0.12 | 0.12 | 0.11 | 0.12 | 0.12 | 0.10 | 0.03 | 0.12 | -0.01 | 0.10 | 0.07 | 0.08 | -0.02 | -0.02 | -0.02 | 0.06 | 0.04 | -0.04 | 0.01 | -0.03 | 0.14 | 0.00 | 0.07 | 0.05 | 0.42 | 0.41 | 0.35 | 0.37 | 0.36 | -0.34 | 0.41 | 0.23 | 0.36 |
| Platinum | 0.13 | 0.12 | 0.17 | 0.20 | 0.12 | 0.05 | 0.12 | 0.13 | 0.13 | 0.10 | 0.12 | 0.06 | 0.03 | 0.04 | 0.20 | 0.20 | 0.18 | 0.14 | 0.18 | 0.21 | 0.31 | 0.31 | 0.44 | 0.43 | 1.00 | 0.46 | 0.30 | 0.27 | 0.23 | -0.08 | -0.06 | -0.05 | -0.06 | -0.09 | -0.09 | -0.08 | -0.06 | -0.02 | -0.07 | 0.00 | -0.01 | -0.07 | -0.06 | 0.12 | 0.14 | 0.14 | 0.15 | 0.16 | 0.08 | 0.13 | 0.11 | 0.20 | 0.16 | 0.18 | 0.13 | 0.24 | 0.28 | 0.29 | 0.33 | 0.23 | -0.27 | 0.20 | 0.03 | 0.27 |
| Palladium | 0.17 | 0.15 | 0.21 | 0.24 | 0.15 | 0.04 | 0.16 | 0.17 | 0.14 | 0.15 | 0.15 | 0.07 | 0.06 | 0.06 | 0.24 | 0.24 | 0.21 | 0.15 | 0.21 | 0.25 | 0.39 | 0.39 | 0.51 | 0.44 | 0.46 | 1.00 | 0.36 | 0.36 | 0.29 | -0.11 | -0.08 | -0.05 | -0.09 | -0.10 | -0.08 | -0.06 | -0.08 | -0.04 | -0.09 | -0.02 | 0.00 | -0.06 | -0.04 | 0.19 | 0.21 | 0.22 | 0.18 | 0.26 | 0.13 | 0.20 | 0.17 | 0.27 | 0.23 | 0.27 | 0.15 | 0.28 | 0.32 | 0.32 | 0.36 | 0.25 | -0.33 | 0.22 | 0.03 | 0.31 |
| Aluminium | 0.20 | 0.17 | 0.23 | 0.27 | 0.16 | 0.05 | 0.19 | 0.17 | 0.16 | 0.19 | 0.15 | 0.10 | 0.10 | 0.09 | 0.30 | 0.29 | 0.25 | 0.10 | 0.25 | 0.30 | 0.67 | 0.72 | 0.37 | 0.29 | 0.30 | 0.36 | 1.00 | 0.68 | 0.53 | -0.16 | -0.13 | -0.10 | -0.14 | -0.17 | -0.16 | -0.15 | -0.15 | -0.05 | -0.16 | -0.04 | -0.04 | -0.13 | -0.12 | 0.23 | 0.30 | 0.31 | 0.18 | 0.33 | 0.17 | 0.20 | 0.22 | 0.28 | 0.32 | 0.32 | 0.15 | 0.27 | 0.32 | 0.31 | 0.36 | 0.26 | -0.34 | 0.20 | -0.04 | 0.31 |
| Zinc | 0.18 | 0.17 | 0.21 | 0.25 | 0.15 | 0.07 | 0.18 | 0.17 | 0.16 | 0.18 | 0.14 | 0.07 | 0.08 | 0.06 | 0.27 | 0.27 | 0.24 | 0.08 | 0.25 | 0.27 | 0.68 | 0.75 | 0.37 | 0.30 | 0.27 | 0.36 | 0.68 | 1.00 | 0.57 | -0.14 | -0.14 | -0.11 | -0.13 | -0.16 | -0.16 | -0.16 | -0.14 | -0.05 | -0.16 | -0.03 | -0.06 | -0.13 | -0.12 | 0.21 | 0.29 | 0.30 | 0.22 | 0.35 | 0.15 | 0.19 | 0.20 | 0.26 | 0.33 | 0.33 | 0.16 | 0.24 | 0.30 | 0.31 | 0.37 | 0.23 | -0.33 | 0.15 | -0.06 | 0.27 |
| Nickel | 0.16 | 0.14 | 0.18 | 0.22 | 0.13 | 0.06 | 0.16 | 0.15 | 0.12 | 0.18 | 0.12 | 0.08 | 0.09 | 0.05 | 0.25 | 0.25 | 0.21 | 0.07 | 0.21 | 0.26 | 0.57 | 0.60 | 0.29 | 0.23 | 0.23 | 0.29 | 0.53 | 0.57 | 1.00 | -0.13 | -0.12 | -0.09 | -0.12 | -0.16 | -0.13 | -0.12 | -0.12 | -0.04 | -0.15 | -0.03 | -0.05 | -0.10 | -0.09 | 0.20 | 0.26 | 0.27 | 0.18 | 0.30 | 0.14 | 0.17 | 0.19 | 0.23 | 0.29 | 0.27 | 0.13 | 0.19 | 0.24 | 0.26 | 0.31 | 0.18 | -0.28 | 0.13 | -0.06 | 0.23 |
| Treasury Bonds | -0.08 | -0.10 | -0.12 | -0.14 | -0.08 | -0.04 | -0.07 | -0.06 | -0.08 | -0.10 | -0.09 | -0.05 | -0.10 | -0.02 | -0.20 | -0.17 | -0.14 | -0.03 | -0.11 | -0.18 | -0.20 | -0.19 | -0.01 | 0.10 | -0.08 | -0.11 | -0.16 | -0.14 | -0.13 | 1.00 | 0.85 | 0.66 | 0.93 | 0.61 | 0.56 | 0.46 | 0.81 | 0.09 | 0.54 | 0.04 | 0.54 | 0.33 | 0.33 | -0.35 | -0.35 | -0.35 | -0.12 | -0.31 | -0.29 | -0.31 | -0.33 | -0.28 | -0.34 | -0.28 | -0.09 | 0.04 | -0.05 | -0.09 | -0.13 | -0.01 | 0.17 | 0.15 | 0.31 | -0.09 |
| 5 yr T-Notes US | -0.07 | -0.09 | -0.11 | -0.12 | -0.08 | -0.05 | -0.06 | -0.05 | -0.06 | -0.10 | -0.09 | -0.03 | -0.11 | -0.02 | -0.14 | -0.13 | -0.10 | -0.01 | -0.07 | -0.15 | -0.17 | -0.17 | 0.02 | 0.12 | -0.06 | -0.08 | -0.13 | -0.14 | -0.12 | 0.85 | 1.00 | 0.90 | 0.96 | 0.55 | 0.57 | 0.52 | 0.77 | 0.09 | 0.49 | 0.04 | 0.76 | 0.37 | 0.40 | -0.35 | -0.35 | -0.34 | -0.13 | -0.30 | -0.31 | -0.27 | -0.33 | -0.26 | -0.32 | -0.25 | -0.08 | 0.11 | 0.00 | -0.05 | -0.09 | 0.04 | 0.11 | 0.21 | 0.34 | -0.03 |
| 2 yr T-Note US | -0.05 | -0.07 | -0.09 | -0.09 | -0.07 | -0.04 | -0.04 | -0.03 | -0.02 | -0.08 | -0.07 | -0.02 | -0.09 | -0.02 | -0.10 | -0.09 | -0.08 | 0.00 | -0.04 | -0.10 | -0.13 | -0.12 | 0.04 | 0.12 | -0.05 | -0.05 | -0.10 | -0.11 | -0.09 | 0.66 | 0.90 | 1.00 | 0.81 | 0.45 | 0.50 | 0.51 | 0.64 | 0.07 | 0.39 | 0.04 | 0.85 | 0.38 | 0.42 | -0.33 | -0.31 | -0.30 | -0.12 | -0.27 | -0.30 | -0.22 | -0.30 | -0.23 | -0.28 | -0.21 | -0.07 | 0.15 | 0.05 | -0.02 | -0.06 | 0.08 | 0.06 | 0.22 | 0.31 | 0.02 |
| 10yr T-Notes | -0.07 | -0.09 | -0.11 | -0.12 | -0.08 | -0.04 | -0.06 | -0.05 | -0.07 | -0.10 | -0.08 | -0.04 | -0.11 | -0.02 | -0.17 | -0.14 | -0.11 | -0.02 | -0.09 | -0.16 | -0.18 | -0.17 | 0.01 | 0.12 | -0.06 | -0.09 | -0.14 | -0.13 | -0.12 | 0.93 | 0.96 | 0.81 | 1.00 | 0.59 | 0.59 | 0.51 | 0.82 | 0.10 | 0.53 | 0.04 | 0.68 | 0.36 | 0.38 | -0.35 | -0.35 | -0.35 | -0.12 | -0.30 | -0.30 | -0.28 | -0.32 | -0.27 | -0.33 | -0.26 | -0.08 | 0.09 | -0.02 | -0.06 | -0.10 | 0.02 | 0.13 | 0.20 | 0.34 | -0.06 |
| Euro-Bund | -0.08 | -0.07 | -0.11 | -0.11 | -0.07 | -0.04 | -0.09 | -0.06 | -0.10 | -0.09 | -0.06 | -0.06 | -0.08 | 0.00 | -0.15 | -0.13 | -0.10 | -0.08 | -0.10 | -0.15 | -0.20 | -0.22 | -0.01 | 0.11 | -0.09 | -0.10 | -0.17 | -0.16 | -0.16 | 0.61 | 0.55 | 0.45 | 0.59 | 1.00 | 0.93 | 0.76 | 0.62 | 0.14 | 0.81 | 0.08 | 0.34 | 0.49 | 0.59 | -0.30 | -0.43 | -0.46 | -0.16 | -0.40 | -0.23 | -0.27 | -0.29 | -0.25 | -0.45 | -0.36 | -0.12 | -0.02 | -0.08 | -0.09 | -0.13 | -0.04 | 0.17 | 0.11 | 0.33 | -0.11 |
| Euro-Bobl | -0.06 | -0.06 | -0.10 | -0.10 | -0.07 | -0.03 | -0.10 | -0.06 | -0.09 | -0.09 | -0.07 | -0.06 | -0.08 | 0.00 | -0.14 | -0.12 | -0.09 | -0.06 | -0.09 | -0.15 | -0.19 | -0.20 | 0.01 | 0.12 | -0.09 | -0.08 | -0.16 | -0.16 | -0.13 | 0.56 | 0.57 | 0.50 | 0.59 | 0.93 | 1.00 | 0.91 | 0.59 | 0.14 | 0.74 | 0.08 | 0.41 | 0.56 | 0.73 | -0.31 | -0.43 | -0.46 | -0.16 | -0.41 | -0.25 | -0.26 | -0.29 | -0.25 | -0.45 | -0.35 | -0.12 | 0.00 | -0.05 | -0.07 | -0.11 | -0.02 | 0.14 | 0.15 | 0.33 | -0.09 |
| Euro-Schatz | -0.08 | -0.06 | -0.10 | -0.11 | -0.07 | -0.02 | -0.09 | -0.06 | -0.06 | -0.10 | -0.09 | -0.06 | -0.07 | 0.01 | -0.12 | -0.10 | -0.08 | -0.05 | -0.07 | -0.15 | -0.17 | -0.19 | 0.01 | 0.12 | -0.08 | -0.06 | -0.15 | -0.16 | -0.12 | 0.46 | 0.52 | 0.51 | 0.51 | 0.76 | 0.91 | 1.00 | 0.51 | 0.12 | 0.59 | 0.07 | 0.45 | 0.59 | 0.81 | -0.29 | -0.41 | -0.43 | -0.16 | -0.39 | -0.24 | -0.22 | -0.26 | -0.24 | -0.42 | -0.32 | -0.13 | 0.02 | -0.02 | -0.06 | -0.11 | 0.00 | 0.11 | 0.17 | 0.30 | -0.06 |
| Canadian Bond | -0.07 | -0.07 | -0.09 | -0.10 | -0.06 | -0.04 | -0.05 | -0.05 | -0.07 | -0.08 | -0.05 | -0.07 | -0.09 | -0.02 | -0.15 | -0.13 | -0.11 | -0.02 | -0.09 | -0.15 | -0.17 | -0.17 | 0.00 | 0.10 | -0.06 | -0.08 | -0.15 | -0.14 | -0.12 | 0.81 | 0.77 | 0.64 | 0.82 | 0.62 | 0.59 | 0.51 | 1.00 | 0.10 | 0.55 | 0.05 | 0.54 | 0.34 | 0.38 | -0.34 | -0.35 | -0.35 | -0.11 | -0.30 | -0.29 | -0.29 | -0.32 | -0.27 | -0.34 | -0.27 | -0.09 | 0.06 | -0.02 | -0.07 | -0.09 | 0.00 | 0.17 | 0.17 | 0.30 | -0.06 |
| JGB Japan | -0.03 | -0.02 | -0.02 | -0.02 | -0.02 | 0.01 | 0.00 | 0.00 | -0.01 | -0.02 | -0.02 | -0.03 | 0.01 | -0.01 | -0.02 | -0.02 | -0.01 | -0.14 | -0.03 | -0.02 | -0.06 | -0.06 | 0.00 | 0.03 | -0.02 | -0.04 | -0.05 | -0.05 | -0.04 | 0.09 | 0.09 | 0.07 | 0.10 | 0.14 | 0.14 | 0.12 | 0.10 | 1.00 | 0.14 | 0.38 | 0.06 | 0.15 | 0.12 | -0.06 | -0.09 | -0.09 | -0.19 | -0.10 | -0.05 | -0.04 | -0.06 | -0.06 | -0.10 | -0.11 | -0.35 | 0.03 | 0.01 | -0.06 | -0.08 | 0.00 | 0.03 | 0.06 | 0.08 | 0.00 |
| Gilts UK | -0.06 | -0.06 | -0.12 | -0.13 | -0.08 | -0.05 | -0.08 | -0.05 | -0.09 | -0.08 | -0.07 | -0.06 | -0.10 | -0.01 | -0.14 | -0.12 | -0.09 | -0.11 | -0.11 | -0.14 | -0.19 | -0.21 | 0.00 | 0.12 | -0.07 | -0.09 | -0.16 | -0.16 | -0.15 | 0.54 | 0.49 | 0.39 | 0.53 | 0.81 | 0.74 | 0.59 | 0.55 | 0.14 | 1.00 | 0.07 | 0.28 | 0.44 | 0.49 | -0.27 | -0.38 | -0.40 | -0.18 | -0.37 | -0.20 | -0.24 | -0.26 | -0.24 | -0.41 | -0.33 | -0.16 | 0.02 | -0.05 | -0.08 | -0.12 | -0.10 | 0.16 | 0.12 | 0.33 | -0.08 |
| Euroyen | -0.01 | -0.01 | -0.02 | 0.00 | -0.01 | 0.00 | 0.00 | -0.01 | -0.03 | 0.01 | -0.01 | -0.02 | -0.01 | 0.00 | -0.03 | -0.01 | -0.02 | -0.05 | -0.01 | -0.05 | -0.03 | -0.02 | -0.01 | -0.01 | 0.00 | -0.02 | -0.04 | -0.03 | -0.03 | 0.04 | 0.04 | 0.04 | 0.04 | 0.08 | 0.08 | 0.07 | 0.05 | 0.38 | 0.07 | 1.00 | 0.17 | 0.30 | 0.25 | -0.06 | -0.06 | -0.06 | -0.09 | -0.07 | -0.05 | -0.04 | -0.06 | -0.07 | -0.06 | -0.08 | -0.17 | 0.00 | 0.00 | -0.04 | -0.06 | -0.02 | 0.03 | 0.01 | 0.00 | -0.03 |
| Eurodollar | -0.01 | -0.04 | -0.05 | -0.04 | -0.04 | -0.05 | -0.01 | -0.01 | -0.01 | -0.06 | -0.05 | -0.01 | -0.07 | -0.01 | -0.05 | -0.03 | -0.03 | 0.02 | -0.01 | -0.06 | -0.06 | -0.06 | 0.06 | 0.10 | -0.01 | 0.00 | -0.04 | -0.06 | -0.05 | 0.54 | 0.76 | 0.85 | 0.68 | 0.34 | 0.41 | 0.45 | 0.54 | 0.06 | 0.28 | 0.17 | 1.00 | 0.41 | 0.48 | -0.23 | -0.23 | -0.21 | -0.06 | -0.18 | -0.23 | -0.12 | -0.21 | -0.17 | -0.19 | -0.10 | -0.03 | 0.20 | 0.11 | 0.03 | 0.02 | 0.13 | -0.01 | 0.24 | 0.26 | 0.07 |
| Euroswiss | -0.05 | -0.06 | -0.09 | -0.08 | -0.07 | -0.05 | -0.04 | -0.05 | -0.05 | -0.07 | -0.06 | -0.02 | -0.08 | -0.01 | -0.08 | -0.08 | -0.06 | -0.04 | -0.06 | -0.11 | -0.14 | -0.15 | -0.01 | 0.07 | -0.07 | -0.06 | -0.13 | -0.13 | -0.10 | 0.33 | 0.37 | 0.38 | 0.36 | 0.49 | 0.56 | 0.59 | 0.34 | 0.15 | 0.44 | 0.30 | 0.41 | 1.00 | 0.69 | -0.24 | -0.33 | -0.33 | -0.16 | -0.32 | -0.20 | -0.18 | -0.22 | -0.20 | -0.35 | -0.24 | -0.17 | 0.00 | -0.05 | -0.08 | -0.11 | -0.03 | 0.12 | 0.13 | 0.21 | -0.06 |
| Euribor | -0.07 | -0.06 | -0.09 | -0.08 | -0.07 | -0.04 | -0.06 | -0.04 | -0.05 | -0.07 | -0.09 | -0.04 | -0.06 | 0.00 | -0.08 | -0.07 | -0.05 | -0.02 | -0.04 | -0.12 | -0.14 | -0.15 | 0.00 | 0.08 | -0.06 | -0.04 | -0.12 | -0.12 | -0.09 | 0.33 | 0.40 | 0.42 | 0.38 | 0.59 | 0.73 | 0.81 | 0.38 | 0.12 | 0.49 | 0.25 | 0.48 | 0.69 | 1.00 | -0.20 | -0.31 | -0.32 | -0.14 | -0.31 | -0.18 | -0.14 | -0.18 | -0.19 | -0.33 | -0.21 | -0.15 | 0.02 | -0.01 | -0.03 | -0.06 | 0.01 | 0.06 | 0.14 | 0.22 | -0.03 |
| SP500 E-Mini | 0.14 | 0.13 | 0.15 | 0.20 | 0.10 | 0.04 | 0.11 | 0.12 | 0.10 | 0.17 | 0.09 | 0.08 | 0.12 | 0.04 | 0.23 | 0.23 | 0.19 | 0.04 | 0.13 | 0.26 | 0.28 | 0.28 | 0.09 | -0.02 | 0.12 | 0.19 | 0.23 | 0.21 | 0.20 | -0.35 | -0.35 | -0.33 | -0.35 | -0.30 | -0.31 | -0.29 | -0.34 | -0.06 | -0.27 | -0.06 | -0.23 | -0.24 | -0.20 | 1.00 | 0.63 | 0.61 | 0.25 | 0.56 | 0.84 | 0.76 | 0.93 | 0.73 | 0.58 | 0.49 | 0.16 | 0.09 | 0.17 | 0.26 | 0.31 | 0.12 | -0.28 | -0.06 | -0.22 | 0.22 |
| DAX 30 | 0.13 | 0.13 | 0.17 | 0.20 | 0.13 | 0.04 | 0.12 | 0.13 | 0.11 | 0.16 | 0.10 | 0.08 | 0.14 | 0.04 | 0.19 | 0.18 | 0.15 | 0.07 | 0.15 | 0.22 | 0.36 | 0.38 | 0.13 | -0.02 | 0.14 | 0.21 | 0.30 | 0.29 | 0.26 | -0.35 | -0.35 | -0.31 | -0.35 | -0.43 | -0.43 | -0.41 | -0.35 | -0.09 | -0.38 | -0.06 | -0.23 | -0.33 | -0.31 | 0.63 | 1.00 | 0.94 | 0.35 | 0.81 | 0.52 | 0.42 | 0.59 | 0.51 | 0.88 | 0.64 | 0.26 | 0.04 | 0.16 | 0.26 | 0.32 | 0.10 | -0.29 | -0.09 | -0.26 | 0.23 |
| Eurostoxx | 0.13 | 0.13 | 0.17 | 0.20 | 0.13 | 0.06 | 0.13 | 0.13 | 0.12 | 0.17 | 0.10 | 0.09 | 0.14 | 0.03 | 0.20 | 0.19 | 0.15 | 0.09 | 0.16 | 0.23 | 0.37 | 0.39 | 0.13 | -0.02 | 0.14 | 0.22 | 0.31 | 0.30 | 0.27 | -0.35 | -0.34 | -0.30 | -0.35 | -0.46 | -0.46 | -0.43 | -0.35 | -0.09 | -0.40 | -0.06 | -0.21 | -0.33 | -0.32 | 0.61 | 0.94 | 1.00 | 0.35 | 0.86 | 0.48 | 0.41 | 0.57 | 0.51 | 0.94 | 0.65 | 0.26 | 0.05 | 0.19 | 0.27 | 0.33 | 0.11 | -0.31 | -0.09 | -0.28 | 0.23 |
| Hang Seng | 0.08 | 0.06 | 0.13 | 0.19 | 0.09 | 0.01 | 0.08 | 0.11 | 0.12 | 0.09 | 0.11 | 0.07 | 0.08 | 0.03 | 0.15 | 0.16 | 0.13 | 0.23 | 0.14 | 0.18 | 0.25 | 0.26 | 0.17 | 0.06 | 0.15 | 0.18 | 0.18 | 0.22 | 0.18 | -0.12 | -0.13 | -0.12 | -0.12 | -0.16 | -0.16 | -0.16 | -0.11 | -0.19 | -0.18 | -0.09 | -0.06 | -0.16 | -0.14 | 0.25 | 0.35 | 0.35 | 1.00 | 0.40 | 0.19 | 0.19 | 0.23 | 0.27 | 0.38 | 0.34 | 0.56 | 0.10 | 0.19 | 0.27 | 0.34 | 0.15 | -0.21 | 0.00 | -0.15 | 0.23 |
| FTSE 100 UK | 0.16 | 0.15 | 0.20 | 0.25 | 0.15 | 0.06 | 0.15 | 0.13 | 0.11 | 0.18 | 0.13 | 0.10 | 0.14 | 0.04 | 0.25 | 0.25 | 0.20 | 0.11 | 0.21 | 0.28 | 0.40 | 0.43 | 0.18 | 0.04 | 0.16 | 0.26 | 0.33 | 0.35 | 0.30 | -0.31 | -0.30 | -0.27 | -0.30 | -0.40 | -0.41 | -0.39 | -0.30 | -0.10 | -0.37 | -0.07 | -0.18 | -0.32 | -0.31 | 0.56 | 0.81 | 0.86 | 0.40 | 1.00 | 0.41 | 0.42 | 0.52 | 0.51 | 0.89 | 0.68 | 0.31 | 0.10 | 0.24 | 0.33 | 0.40 | 0.10 | -0.34 | -0.06 | -0.28 | 0.26 |
| Nasdaq 100 Mini | 0.10 | 0.10 | 0.11 | 0.14 | 0.08 | 0.01 | 0.08 | 0.07 | 0.06 | 0.13 | 0.07 | 0.06 | 0.12 | 0.02 | 0.13 | 0.13 | 0.11 | 0.01 | 0.08 | 0.16 | 0.21 | 0.20 | 0.04 | -0.04 | 0.08 | 0.13 | 0.17 | 0.15 | 0.14 | -0.29 | -0.31 | -0.30 | -0.30 | -0.23 | -0.25 | -0.24 | -0.29 | -0.05 | -0.20 | -0.05 | -0.23 | -0.20 | -0.18 | 0.84 | 0.52 | 0.48 | 0.19 | 0.41 | 1.00 | 0.55 | 0.71 | 0.60 | 0.44 | 0.34 | 0.12 | 0.03 | 0.09 | 0.19 | 0.21 | 0.06 | -0.19 | -0.08 | -0.15 | 0.15 |
| Russel 2000 E-Mini | 0.12 | 0.13 | 0.14 | 0.19 | 0.09 | 0.02 | 0.11 | 0.12 | 0.11 | 0.16 | 0.07 | 0.06 | 0.10 | 0.03 | 0.23 | 0.24 | 0.21 | 0.04 | 0.15 | 0.26 | 0.23 | 0.24 | 0.11 | 0.01 | 0.13 | 0.20 | 0.20 | 0.19 | 0.17 | -0.31 | -0.27 | -0.22 | -0.28 | -0.27 | -0.26 | -0.22 | -0.29 | -0.04 | -0.24 | -0.04 | -0.12 | -0.18 | -0.14 | 0.76 | 0.42 | 0.41 | 0.19 | 0.42 | 0.55 | 1.00 | 0.75 | 0.60 | 0.43 | 0.50 | 0.09 | 0.15 | 0.20 | 0.27 | 0.29 | 0.16 | -0.28 | 0.00 | -0.21 | 0.26 |
| Dow Jones | 0.11 | 0.11 | 0.13 | 0.18 | 0.09 | 0.03 | 0.08 | 0.11 | 0.09 | 0.15 | 0.07 | 0.08 | 0.11 | 0.03 | 0.19 | 0.19 | 0.16 | 0.03 | 0.11 | 0.23 | 0.26 | 0.26 | 0.08 | -0.03 | 0.11 | 0.17 | 0.22 | 0.20 | 0.19 | -0.33 | -0.33 | -0.30 | -0.32 | -0.29 | -0.29 | -0.26 | -0.32 | -0.06 | -0.26 | -0.06 | -0.21 | -0.22 | -0.18 | 0.93 | 0.59 | 0.57 | 0.23 | 0.52 | 0.71 | 0.75 | 1.00 | 0.66 | 0.54 | 0.49 | 0.14 | 0.08 | 0.16 | 0.24 | 0.28 | 0.11 | -0.26 | -0.06 | -0.22 | 0.20 |
| TSE Toronto | 0.18 | 0.17 | 0.20 | 0.24 | 0.15 | 0.05 | 0.13 | 0.14 | 0.13 | 0.18 | 0.16 | 0.10 | 0.10 | 0.10 | 0.33 | 0.33 | 0.28 | 0.08 | 0.19 | 0.35 | 0.33 | 0.33 | 0.23 | 0.14 | 0.20 | 0.27 | 0.28 | 0.26 | 0.23 | -0.28 | -0.26 | -0.23 | -0.27 | -0.25 | -0.25 | -0.24 | -0.27 | -0.06 | -0.24 | -0.07 | -0.17 | -0.20 | -0.19 | 0.73 | 0.51 | 0.51 | 0.27 | 0.51 | 0.60 | 0.60 | 0.66 | 1.00 | 0.51 | 0.44 | 0.22 | 0.13 | 0.22 | 0.27 | 0.32 | 0.18 | -0.24 | 0.01 | -0.16 | 0.24 |
| CAC 40 France | 0.13 | 0.13 | 0.18 | 0.22 | 0.13 | 0.06 | 0.13 | 0.13 | 0.13 | 0.17 | 0.11 | 0.08 | 0.14 | 0.04 | 0.22 | 0.22 | 0.18 | 0.08 | 0.17 | 0.25 | 0.38 | 0.41 | 0.15 | 0.00 | 0.16 | 0.23 | 0.32 | 0.33 | 0.29 | -0.34 | -0.32 | -0.28 | -0.33 | -0.45 | -0.45 | -0.42 | -0.34 | -0.10 | -0.41 | -0.06 | -0.19 | -0.35 | -0.33 | 0.58 | 0.88 | 0.94 | 0.38 | 0.89 | 0.44 | 0.43 | 0.54 | 0.51 | 1.00 | 0.69 | 0.30 | 0.07 | 0.21 | 0.30 | 0.36 | 0.13 | -0.33 | -0.08 | -0.28 | 0.25 |
| OMX 30 Stockholm | 0.15 | 0.13 | 0.20 | 0.24 | 0.15 | 0.04 | 0.14 | 0.14 | 0.14 | 0.17 | 0.13 | 0.11 | 0.12 | 0.04 | 0.25 | 0.25 | 0.21 | 0.11 | 0.21 | 0.28 | 0.38 | 0.41 | 0.19 | 0.07 | 0.18 | 0.27 | 0.32 | 0.33 | 0.27 | -0.28 | -0.25 | -0.21 | -0.26 | -0.36 | -0.35 | -0.32 | -0.27 | -0.11 | -0.33 | -0.08 | -0.10 | -0.24 | -0.21 | 0.49 | 0.64 | 0.65 | 0.34 | 0.68 | 0.34 | 0.50 | 0.49 | 0.44 | 0.69 | 1.00 | 0.26 | 0.21 | 0.32 | 0.36 | 0.42 | 0.22 | -0.38 | 0.04 | -0.25 | 0.34 |
| NIKKEI 225 | 0.05 | 0.05 | 0.08 | 0.12 | 0.07 | 0.02 | 0.08 | 0.07 | 0.07 | 0.05 | 0.06 | 0.07 | 0.04 | 0.03 | 0.10 | 0.12 | 0.10 | 0.33 | 0.09 | 0.13 | 0.18 | 0.18 | 0.12 | 0.05 | 0.13 | 0.15 | 0.15 | 0.16 | 0.13 | -0.09 | -0.08 | -0.07 | -0.08 | -0.12 | -0.12 | -0.13 | -0.09 | -0.35 | -0.16 | -0.17 | -0.03 | -0.17 | -0.15 | 0.16 | 0.26 | 0.26 | 0.56 | 0.31 | 0.12 | 0.09 | 0.14 | 0.22 | 0.30 | 0.26 | 1.00 | 0.06 | 0.12 | 0.20 | 0.26 | 0.11 | -0.15 | -0.01 | -0.18 | 0.11 |
| Euro | 0.17 | 0.16 | 0.17 | 0.20 | 0.13 | 0.00 | 0.13 | 0.15 | 0.21 | 0.17 | 0.09 | 0.06 | 0.05 | 0.07 | 0.23 | 0.23 | 0.20 | 0.05 | 0.20 | 0.19 | 0.29 | 0.28 | 0.40 | 0.42 | 0.24 | 0.28 | 0.27 | 0.24 | 0.19 | 0.04 | 0.11 | 0.15 | 0.09 | -0.02 | 0.00 | 0.02 | 0.06 | 0.03 | 0.02 | 0.00 | 0.20 | 0.00 | 0.02 | 0.09 | 0.04 | 0.05 | 0.10 | 0.10 | 0.03 | 0.15 | 0.08 | 0.13 | 0.07 | 0.21 | 0.06 | 1.00 | 0.78 | 0.56 | 0.58 | 0.66 | -0.48 | 0.76 | 0.29 | 0.57 |
| Norwegian Krone | 0.20 | 0.20 | 0.22 | 0.26 | 0.16 | 0.01 | 0.15 | 0.17 | 0.22 | 0.20 | 0.13 | 0.05 | 0.08 | 0.07 | 0.32 | 0.31 | 0.26 | 0.12 | 0.29 | 0.28 | 0.35 | 0.35 | 0.43 | 0.41 | 0.28 | 0.32 | 0.32 | 0.30 | 0.24 | -0.05 | 0.00 | 0.05 | -0.02 | -0.08 | -0.05 | -0.02 | -0.02 | 0.01 | -0.05 | 0.00 | 0.11 | -0.05 | -0.01 | 0.17 | 0.16 | 0.19 | 0.19 | 0.24 | 0.09 | 0.20 | 0.16 | 0.22 | 0.21 | 0.32 | 0.12 | 0.78 | 1.00 | 0.57 | 0.60 | 0.61 | -0.52 | 0.60 | 0.17 | 0.56 |
| New Zealand Dollar | 0.18 | 0.18 | 0.19 | 0.24 | 0.15 | 0.01 | 0.17 | 0.19 | 0.22 | 0.17 | 0.11 | 0.07 | 0.09 | 0.07 | 0.25 | 0.26 | 0.22 | 0.11 | 0.23 | 0.23 | 0.38 | 0.38 | 0.40 | 0.35 | 0.29 | 0.32 | 0.31 | 0.31 | 0.26 | -0.09 | -0.05 | -0.02 | -0.06 | -0.09 | -0.07 | -0.06 | -0.07 | -0.06 | -0.08 | -0.04 | 0.03 | -0.08 | -0.03 | 0.26 | 0.26 | 0.27 | 0.27 | 0.33 | 0.19 | 0.27 | 0.24 | 0.27 | 0.30 | 0.36 | 0.20 | 0.56 | 0.57 | 1.00 | 0.82 | 0.54 | -0.56 | 0.40 | 0.07 | 0.56 |
| Australian Dollar | 0.21 | 0.20 | 0.25 | 0.30 | 0.19 | 0.02 | 0.20 | 0.20 | 0.23 | 0.21 | 0.15 | 0.09 | 0.11 | 0.09 | 0.32 | 0.32 | 0.28 | 0.12 | 0.27 | 0.31 | 0.45 | 0.45 | 0.43 | 0.37 | 0.33 | 0.36 | 0.36 | 0.37 | 0.31 | -0.13 | -0.09 | -0.06 | -0.10 | -0.13 | -0.11 | -0.11 | -0.09 | -0.08 | -0.12 | -0.06 | 0.02 | -0.11 | -0.06 | 0.31 | 0.32 | 0.33 | 0.34 | 0.40 | 0.21 | 0.29 | 0.28 | 0.32 | 0.36 | 0.42 | 0.26 | 0.58 | 0.60 | 0.82 | 1.00 | 0.54 | -0.62 | 0.40 | 0.06 | 0.59 |
| British Pound | 0.16 | 0.15 | 0.17 | 0.21 | 0.12 | 0.02 | 0.13 | 0.15 | 0.24 | 0.15 | 0.10 | 0.03 | 0.08 | 0.06 | 0.22 | 0.24 | 0.20 | 0.10 | 0.20 | 0.21 | 0.29 | 0.28 | 0.37 | 0.36 | 0.23 | 0.25 | 0.26 | 0.23 | 0.18 | -0.01 | 0.04 | 0.08 | 0.02 | -0.04 | -0.02 | 0.00 | 0.00 | 0.00 | -0.10 | -0.02 | 0.13 | -0.03 | 0.01 | 0.12 | 0.10 | 0.11 | 0.15 | 0.10 | 0.06 | 0.16 | 0.11 | 0.18 | 0.13 | 0.22 | 0.11 | 0.66 | 0.61 | 0.54 | 0.54 | 1.00 | -0.46 | 0.51 | 0.18 | 0.48 |
| Canadian Dollar | -0.20 | -0.20 | -0.22 | -0.28 | -0.17 | -0.03 | -0.15 | -0.17 | -0.20 | -0.20 | -0.06 | -0.09 | -0.09 | -0.10 | -0.34 | -0.34 | -0.30 | -0.11 | -0.31 | -0.31 | -0.38 | -0.39 | -0.39 | -0.34 | -0.27 | -0.33 | -0.34 | -0.33 | -0.28 | 0.17 | 0.11 | 0.06 | 0.13 | 0.17 | 0.14 | 0.11 | 0.17 | 0.03 | 0.16 | 0.03 | -0.01 | 0.12 | 0.06 | -0.28 | -0.29 | -0.31 | -0.21 | -0.34 | -0.19 | -0.28 | -0.26 | -0.24 | -0.33 | -0.38 | -0.15 | -0.48 | -0.52 | -0.56 | -0.62 | -0.46 | 1.00 | -0.33 | -0.03 | -0.48 |
| Swiss Franc | 0.11 | 0.12 | 0.11 | 0.13 | 0.08 | -0.02 | 0.09 | 0.08 | 0.14 | 0.11 | 0.05 | 0.03 | 0.01 | 0.06 | 0.13 | 0.14 | 0.13 | 0.04 | 0.16 | 0.10 | 0.20 | 0.18 | 0.35 | 0.41 | 0.20 | 0.22 | 0.20 | 0.15 | 0.13 | 0.15 | 0.21 | 0.22 | 0.20 | 0.11 | 0.15 | 0.17 | 0.17 | 0.06 | 0.12 | 0.01 | 0.24 | 0.13 | 0.14 | -0.06 | -0.09 | -0.09 | 0.00 | -0.06 | -0.08 | 0.00 | -0.06 | 0.01 | -0.08 | 0.04 | -0.01 | 0.76 | 0.60 | 0.40 | 0.40 | 0.51 | -0.33 | 1.00 | 0.39 | 0.45 |
| Japanese Yen | -0.02 | 0.00 | -0.01 | -0.05 | 0.01 | -0.03 | -0.04 | 0.00 | 0.01 | -0.01 | -0.02 | -0.03 | -0.07 | 0.01 | -0.06 | -0.05 | -0.03 | -0.13 | -0.03 | -0.08 | -0.08 | -0.07 | 0.14 | 0.23 | 0.03 | 0.03 | -0.04 | -0.06 | -0.06 | 0.31 | 0.34 | 0.31 | 0.34 | 0.33 | 0.33 | 0.30 | 0.30 | 0.08 | 0.33 | 0.00 | 0.26 | 0.21 | 0.22 | -0.22 | -0.26 | -0.28 | -0.15 | -0.28 | -0.15 | -0.21 | -0.22 | -0.16 | -0.28 | -0.25 | -0.18 | 0.29 | 0.17 | 0.07 | 0.06 | 0.18 | -0.03 | 0.39 | 1.00 | 0.27 |
| Singapore Dollar | 0.17 | 0.16 | 0.21 | 0.23 | 0.16 | 0.01 | 0.16 | 0.16 | 0.19 | 0.17 | 0.12 | 0.07 | 0.09 | 0.05 | 0.25 | 0.24 | 0.21 | 0.05 | 0.21 | 0.22 | 0.32 | 0.33 | 0.37 | 0.36 | 0.27 | 0.31 | 0.31 | 0.27 | 0.23 | -0.09 | -0.03 | 0.02 | -0.06 | -0.11 | -0.09 | -0.06 | -0.06 | 0.00 | -0.08 | -0.03 | 0.07 | -0.06 | -0.03 | 0.22 | 0.23 | 0.23 | 0.23 | 0.26 | 0.15 | 0.26 | 0.20 | 0.24 | 0.25 | 0.34 | 0.11 | 0.57 | 0.56 | 0.56 | 0.59 | 0.48 | -0.48 | 0.45 | 0.27 | 1.00 |
We see quite high correlations among some of the futures. Does it make sense? Why? Do you see some negative correlations? Do those make sense?
Given such high correlations, we can try to see whether there are some “principal components” (see reading on dimensionality reduction). This analysis can also indicate whether all futures (the global economy!) are driven by some common “factors” (let’s call them “risk factors”).
Variance_Explained_Table_results<-PCA(futures_data, graph=FALSE)
Variance_Explained_Table<-Variance_Explained_Table_results$eig
colnames(Variance_Explained_Table)<-c("Eigenvalue",
"Pct of explained variance", "Cumulative pct of explained variance")
| Eigenvalue | Pct of explained variance | Cumulative pct of explained variance | |
|---|---|---|---|
| comp 1 | 14.04 | 21.94 | 21.94 |
| comp 2 | 7.84 | 12.25 | 34.19 |
| comp 3 | 3.52 | 5.50 | 39.69 |
| comp 4 | 3.05 | 4.77 | 44.46 |
| comp 5 | 2.63 | 4.11 | 48.57 |
| comp 6 | 2.38 | 3.72 | 52.29 |
| comp 7 | 2.14 | 3.34 | 55.64 |
| comp 8 | 1.70 | 2.65 | 58.29 |
| comp 9 | 1.46 | 2.28 | 60.57 |
| comp 10 | 1.31 | 2.04 | 62.61 |
| comp 11 | 1.18 | 1.84 | 64.45 |
| comp 12 | 1.14 | 1.79 | 66.24 |
| comp 13 | 1.00 | 1.56 | 67.80 |
| comp 14 | 1.00 | 1.56 | 69.36 |
| comp 15 | 0.98 | 1.53 | 70.89 |
| comp 16 | 0.94 | 1.47 | 72.37 |
| comp 17 | 0.90 | 1.41 | 73.78 |
| comp 18 | 0.87 | 1.36 | 75.14 |
| comp 19 | 0.84 | 1.32 | 76.46 |
| comp 20 | 0.82 | 1.29 | 77.75 |
| comp 21 | 0.79 | 1.23 | 78.98 |
| comp 22 | 0.78 | 1.22 | 80.20 |
| comp 23 | 0.76 | 1.19 | 81.39 |
| comp 24 | 0.70 | 1.09 | 82.48 |
| comp 25 | 0.63 | 0.98 | 83.46 |
| comp 26 | 0.60 | 0.93 | 84.40 |
| comp 27 | 0.59 | 0.92 | 85.32 |
| comp 28 | 0.55 | 0.86 | 86.18 |
| comp 29 | 0.53 | 0.83 | 87.01 |
| comp 30 | 0.51 | 0.80 | 87.81 |
| comp 31 | 0.50 | 0.78 | 88.59 |
| comp 32 | 0.49 | 0.76 | 89.35 |
| comp 33 | 0.45 | 0.70 | 90.06 |
| comp 34 | 0.43 | 0.67 | 90.73 |
| comp 35 | 0.39 | 0.62 | 91.34 |
| comp 36 | 0.38 | 0.60 | 91.94 |
| comp 37 | 0.37 | 0.57 | 92.52 |
| comp 38 | 0.36 | 0.56 | 93.07 |
| comp 39 | 0.35 | 0.55 | 93.62 |
| comp 40 | 0.34 | 0.53 | 94.15 |
| comp 41 | 0.33 | 0.51 | 94.67 |
| comp 42 | 0.32 | 0.51 | 95.18 |
| comp 43 | 0.31 | 0.48 | 95.65 |
| comp 44 | 0.30 | 0.46 | 96.12 |
| comp 45 | 0.29 | 0.45 | 96.56 |
| comp 46 | 0.23 | 0.36 | 96.92 |
| comp 47 | 0.21 | 0.32 | 97.24 |
| comp 48 | 0.20 | 0.31 | 97.56 |
| comp 49 | 0.19 | 0.30 | 97.85 |
| comp 50 | 0.18 | 0.27 | 98.13 |
| comp 51 | 0.16 | 0.24 | 98.37 |
| comp 52 | 0.15 | 0.24 | 98.61 |
| comp 53 | 0.14 | 0.23 | 98.84 |
| comp 54 | 0.13 | 0.21 | 99.04 |
| comp 55 | 0.11 | 0.16 | 99.21 |
| comp 56 | 0.09 | 0.14 | 99.35 |
| comp 57 | 0.09 | 0.13 | 99.49 |
| comp 58 | 0.08 | 0.13 | 99.62 |
| comp 59 | 0.08 | 0.12 | 99.74 |
| comp 60 | 0.06 | 0.09 | 99.83 |
| comp 61 | 0.04 | 0.06 | 99.89 |
| comp 62 | 0.03 | 0.05 | 99.94 |
| comp 63 | 0.02 | 0.03 | 99.97 |
| comp 64 | 0.02 | 0.03 | 100.00 |
Here is the scree plot (see Sessions 3-4 readings):
eigenvalues <- Variance_Explained_Table[, "Eigenvalue"]
Let’s now see how the 20 first (rotated) principal components look like. Let’s also use the rotated factors (note that these are not really the “principal component”, as explained in the reading on dimensionality reduction) and not show any numbers less than 0.3 in absolute value, to avoid cluttering.
corused = cor(futures_data[, apply(futures_data != 0, 2, sum) > 10, drop = F])
Rotated_Results <- principal(corused, nfactors = 20, rotate = "varimax", score = TRUE)
Rotated_Factors <- round(Rotated_Results$loadings, 2)
Rotated_Factors <- as.data.frame(unclass(Rotated_Factors))
colnames(Rotated_Factors) <- paste("comp", 1:ncol(Rotated_Factors), sep = " ")
sorted_rows <- sort(Rotated_Factors[, 1], decreasing = TRUE, index.return = TRUE)$ix
Rotated_Factors <- Rotated_Factors[sorted_rows, ]
Rotated_Factors[abs(Rotated_Factors) < 0.3] <- NA
| comp 1 | comp 2 | comp 3 | comp 4 | comp 5 | comp 6 | comp 7 | comp 8 | comp 9 | comp 10 | comp 11 | comp 12 | comp 13 | comp 14 | comp 15 | comp 16 | comp 17 | comp 18 | comp 19 | comp 20 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 5 yr T-Notes US | 0.93 | |||||||||||||||||||
| 10yr T-Notes | 0.93 | |||||||||||||||||||
| Treasury Bonds | 0.86 | |||||||||||||||||||
| 2 yr T-Note US | 0.85 | |||||||||||||||||||
| Canadian Bond | 0.79 | |||||||||||||||||||
| Eurodollar | 0.74 | -0.45 | ||||||||||||||||||
| Euro-Bund | 0.43 | 0.67 | 0.44 | |||||||||||||||||
| Euro-Bobl | 0.41 | 0.79 | ||||||||||||||||||
| Gilts UK | 0.39 | 0.55 | 0.47 | |||||||||||||||||
| Euro-Schatz | 0.34 | 0.83 | ||||||||||||||||||
| Japanese Yen | 0.33 | 0.36 | ||||||||||||||||||
| Euribor | 0.87 | |||||||||||||||||||
| Euroswiss | 0.72 | |||||||||||||||||||
| Swiss Franc | 0.74 | |||||||||||||||||||
| Euro | 0.87 | |||||||||||||||||||
| Gold | 0.34 | 0.74 | ||||||||||||||||||
| Canadian Dollar | -0.61 | |||||||||||||||||||
| JGB Japan | 0.75 | |||||||||||||||||||
| British Pound | 0.74 | |||||||||||||||||||
| Silver | 0.32 | 0.73 | ||||||||||||||||||
| Norwegian Krone | 0.79 | |||||||||||||||||||
| Kerosene | 0.87 | |||||||||||||||||||
| Sugar | 0.67 | |||||||||||||||||||
| Coffee | 0.64 | |||||||||||||||||||
| Orange Juice | 0.98 | |||||||||||||||||||
| Natural Gas | 0.91 | |||||||||||||||||||
| Euroyen | 0.83 | |||||||||||||||||||
| Singapore Dollar | 0.70 | |||||||||||||||||||
| Corn | 0.72 | |||||||||||||||||||
| Canola | 0.77 | |||||||||||||||||||
| NIKKEI 225 | 0.78 | |||||||||||||||||||
| Soybean Meal | 0.82 | |||||||||||||||||||
| Lean Hoggs | 0.99 | |||||||||||||||||||
| Gas Oil | 0.65 | 0.40 | ||||||||||||||||||
| Platinum | 0.69 | |||||||||||||||||||
| Soybeans | 0.90 | |||||||||||||||||||
| Cocoa | 0.87 | |||||||||||||||||||
| Heating Oil | 0.89 | |||||||||||||||||||
| Hang Seng | 0.78 | |||||||||||||||||||
| New Zealand Dollar | 0.73 | |||||||||||||||||||
| Wheat | 0.59 | 0.36 | ||||||||||||||||||
| Soybean Oil | 0.74 | |||||||||||||||||||
| Brent Crude | 0.90 | |||||||||||||||||||
| Palladium | 0.66 | |||||||||||||||||||
| Aluminium | 0.77 | |||||||||||||||||||
| Zinc | 0.81 | |||||||||||||||||||
| Nickel | 0.72 | |||||||||||||||||||
| Gasoline | 0.72 | |||||||||||||||||||
| Copper LDN | 0.84 | |||||||||||||||||||
| Australian Dollar | 0.72 | |||||||||||||||||||
| Cotton | 0.73 | |||||||||||||||||||
| Lumber | 0.98 | |||||||||||||||||||
| Crude Oil | 0.88 | |||||||||||||||||||
| Copper NY | 0.79 | |||||||||||||||||||
| TSE Toronto | 0.71 | |||||||||||||||||||
| OMX 30 Stockholm | 0.62 | |||||||||||||||||||
| FTSE 100 UK | 0.81 | |||||||||||||||||||
| Russel 2000 E-Mini | 0.79 | |||||||||||||||||||
| CAC 40 France | 0.85 | |||||||||||||||||||
| DAX 30 | 0.82 | 0.34 | ||||||||||||||||||
| Eurostoxx | 0.85 | 0.30 | ||||||||||||||||||
| Nasdaq 100 Mini | 0.80 | |||||||||||||||||||
| Dow Jones | 0.85 | |||||||||||||||||||
| SP500 E-Mini | 0.30 | 0.89 |
Questions
crisis_data = futures_data[ as.Date(rownames(futures_data)) > "2007-10-01" & as.Date(rownames(futures_data)) < "2009-03-01" , ])Answers
| Corn | Wheat | Soybeans | Soybean Oil | Soybean Meal | Lean Hoggs | Sugar | Coffee | Cocoa | Cotton | Canola | Orange Juice | Lumber | Natural Gas | Crude Oil | Brent Crude | Heating Oil | Kerosene | Gas Oil | Gasoline | Copper NY | Copper LDN | Silver | Gold | Platinum | Palladium | Aluminium | Zinc | Nickel | Treasury Bonds | 5 yr T-Notes US | 2 yr T-Note US | 10yr T-Notes | Euro-Bund | Euro-Bobl | Euro-Schatz | Canadian Bond | JGB Japan | Gilts UK | Euroyen | Eurodollar | Euroswiss | Euribor | SP500 E-Mini | DAX 30 | Eurostoxx | Hang Seng | FTSE 100 UK | Nasdaq 100 Mini | Russel 2000 E-Mini | Dow Jones | TSE Toronto | CAC 40 France | OMX 30 Stockholm | NIKKEI 225 | Euro | Norwegian Krone | New Zealand Dollar | Australian Dollar | British Pound | Canadian Dollar | Swiss Franc | Japanese Yen | Singapore Dollar | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Corn | 1.00 | 0.57 | 0.54 | 0.47 | 0.48 | -0.01 | 0.10 | 0.10 | 0.03 | 0.17 | 0.44 | 0.04 | 0.05 | 0.07 | 0.12 | 0.14 | 0.12 | -0.05 | 0.07 | 0.12 | 0.09 | 0.09 | 0.17 | 0.16 | 0.01 | 0.09 | 0.11 | 0.10 | 0.03 | -0.03 | -0.01 | -0.01 | -0.02 | -0.02 | 0.00 | 0.00 | -0.01 | -0.03 | -0.02 | -0.03 | 0.01 | 0.01 | 0.00 | 0.07 | 0.03 | 0.04 | 0.03 | 0.05 | 0.03 | 0.02 | 0.05 | 0.11 | 0.03 | 0.05 | 0.03 | 0.09 | 0.10 | 0.08 | 0.10 | 0.09 | -0.05 | 0.08 | 0.03 | 0.07 |
| Wheat | 0.57 | 1.00 | 0.36 | 0.35 | 0.32 | 0.00 | 0.11 | 0.09 | 0.02 | 0.12 | 0.34 | -0.02 | 0.03 | 0.01 | 0.11 | 0.11 | 0.10 | -0.03 | 0.07 | 0.08 | 0.08 | 0.08 | 0.12 | 0.11 | -0.02 | 0.08 | 0.09 | 0.07 | 0.02 | -0.01 | -0.01 | -0.02 | -0.01 | -0.01 | 0.00 | -0.01 | 0.01 | 0.02 | -0.01 | -0.04 | -0.03 | -0.04 | -0.03 | 0.02 | 0.01 | 0.02 | 0.01 | 0.03 | 0.03 | 0.01 | 0.03 | 0.05 | 0.01 | -0.01 | 0.03 | 0.09 | 0.10 | 0.06 | 0.08 | 0.07 | -0.07 | 0.09 | 0.04 | 0.07 |
| Soybeans | 0.54 | 0.36 | 1.00 | 0.75 | 0.85 | 0.01 | 0.08 | 0.07 | 0.02 | 0.19 | 0.65 | 0.03 | 0.03 | 0.11 | 0.15 | 0.15 | 0.14 | -0.04 | 0.10 | 0.14 | 0.10 | 0.08 | 0.15 | 0.12 | 0.05 | 0.10 | 0.09 | 0.05 | 0.03 | -0.02 | -0.03 | -0.04 | -0.02 | -0.03 | -0.03 | -0.03 | -0.02 | 0.00 | -0.04 | -0.03 | -0.03 | -0.04 | -0.06 | 0.04 | 0.05 | 0.07 | 0.08 | 0.10 | 0.05 | 0.00 | 0.04 | 0.09 | 0.08 | 0.08 | 0.04 | 0.10 | 0.13 | 0.10 | 0.13 | 0.09 | -0.08 | 0.09 | 0.02 | 0.09 |
| Soybean Oil | 0.47 | 0.35 | 0.75 | 1.00 | 0.51 | 0.01 | 0.10 | 0.09 | 0.02 | 0.23 | 0.65 | 0.04 | 0.04 | 0.10 | 0.16 | 0.16 | 0.15 | 0.00 | 0.11 | 0.20 | 0.13 | 0.12 | 0.18 | 0.17 | 0.06 | 0.10 | 0.13 | 0.08 | 0.03 | -0.01 | -0.02 | -0.03 | -0.01 | -0.02 | -0.01 | -0.02 | -0.01 | 0.02 | -0.01 | 0.02 | -0.01 | -0.01 | -0.01 | 0.02 | 0.01 | 0.04 | 0.09 | 0.10 | 0.01 | 0.00 | 0.02 | 0.08 | 0.06 | 0.08 | 0.03 | 0.13 | 0.18 | 0.10 | 0.13 | 0.11 | -0.11 | 0.12 | 0.04 | 0.12 |
| Soybean Meal | 0.48 | 0.32 | 0.85 | 0.51 | 1.00 | -0.01 | 0.06 | 0.06 | 0.02 | 0.18 | 0.52 | 0.05 | 0.03 | 0.10 | 0.11 | 0.11 | 0.10 | -0.02 | 0.07 | 0.08 | 0.08 | 0.04 | 0.09 | 0.08 | 0.06 | 0.08 | 0.05 | 0.02 | 0.03 | -0.02 | -0.02 | -0.03 | -0.02 | -0.03 | -0.02 | -0.03 | -0.02 | 0.00 | -0.05 | -0.01 | -0.01 | -0.02 | -0.06 | 0.05 | 0.07 | 0.08 | 0.07 | 0.08 | 0.07 | 0.01 | 0.04 | 0.10 | 0.07 | 0.08 | 0.03 | 0.08 | 0.09 | 0.07 | 0.11 | 0.07 | -0.06 | 0.07 | 0.02 | 0.07 |
| Lean Hoggs | -0.01 | 0.00 | 0.01 | 0.01 | -0.01 | 1.00 | -0.04 | 0.03 | -0.01 | 0.02 | -0.03 | -0.02 | 0.03 | -0.01 | 0.02 | 0.02 | 0.00 | -0.03 | -0.02 | 0.00 | 0.05 | 0.04 | 0.00 | 0.00 | -0.02 | -0.01 | 0.04 | 0.04 | 0.06 | -0.01 | -0.03 | -0.04 | -0.02 | -0.02 | -0.01 | 0.00 | 0.01 | -0.02 | -0.02 | 0.02 | -0.03 | -0.05 | -0.02 | 0.01 | 0.03 | 0.04 | 0.00 | 0.06 | 0.00 | -0.01 | 0.02 | 0.04 | 0.04 | 0.04 | 0.02 | 0.00 | 0.02 | 0.00 | 0.02 | -0.01 | 0.00 | -0.02 | -0.03 | -0.01 |
| Sugar | 0.10 | 0.11 | 0.08 | 0.10 | 0.06 | -0.04 | 1.00 | 0.13 | 0.12 | 0.12 | 0.07 | 0.06 | 0.01 | 0.04 | 0.10 | 0.10 | 0.11 | 0.05 | 0.12 | 0.14 | 0.15 | 0.14 | 0.13 | 0.10 | 0.04 | 0.10 | 0.13 | 0.12 | 0.06 | 0.00 | 0.01 | 0.02 | 0.01 | -0.02 | -0.02 | -0.01 | -0.01 | 0.01 | 0.00 | -0.04 | 0.02 | 0.00 | -0.01 | -0.01 | 0.00 | 0.00 | 0.08 | 0.02 | -0.02 | 0.01 | -0.02 | 0.07 | 0.01 | 0.04 | 0.07 | 0.07 | 0.10 | 0.07 | 0.08 | 0.06 | -0.02 | 0.07 | -0.02 | 0.07 |
| Coffee | 0.10 | 0.09 | 0.07 | 0.09 | 0.06 | 0.03 | 0.13 | 1.00 | 0.14 | 0.13 | 0.05 | 0.09 | 0.08 | 0.03 | 0.09 | 0.09 | 0.10 | 0.03 | 0.08 | 0.08 | 0.12 | 0.12 | 0.14 | 0.12 | 0.07 | 0.12 | 0.12 | 0.12 | 0.11 | 0.02 | -0.01 | 0.01 | 0.00 | 0.02 | 0.01 | 0.02 | 0.00 | 0.01 | 0.02 | -0.02 | 0.00 | 0.00 | 0.00 | 0.09 | 0.08 | 0.07 | 0.12 | 0.06 | 0.10 | -0.02 | 0.08 | 0.10 | 0.06 | 0.04 | 0.06 | 0.09 | 0.13 | 0.14 | 0.14 | 0.11 | -0.08 | 0.07 | 0.01 | 0.08 |
| Cocoa | 0.03 | 0.02 | 0.02 | 0.02 | 0.02 | -0.01 | 0.12 | 0.14 | 1.00 | 0.03 | 0.01 | 0.04 | 0.10 | 0.04 | 0.04 | 0.05 | 0.03 | 0.04 | 0.08 | 0.05 | 0.08 | 0.08 | 0.14 | 0.12 | 0.06 | 0.08 | 0.07 | 0.10 | 0.02 | -0.04 | -0.05 | -0.04 | -0.05 | -0.01 | -0.01 | 0.01 | -0.04 | -0.03 | 0.01 | -0.07 | -0.05 | -0.01 | 0.00 | 0.04 | 0.02 | 0.02 | 0.10 | 0.00 | 0.01 | -0.01 | 0.03 | 0.05 | 0.02 | 0.04 | 0.04 | 0.10 | 0.09 | 0.15 | 0.15 | 0.16 | -0.08 | 0.08 | 0.04 | 0.09 |
| Cotton | 0.17 | 0.12 | 0.19 | 0.23 | 0.18 | 0.02 | 0.12 | 0.13 | 0.03 | 1.00 | 0.20 | 0.04 | 0.04 | 0.01 | 0.12 | 0.11 | 0.11 | -0.02 | 0.10 | 0.09 | 0.13 | 0.10 | 0.14 | 0.14 | -0.01 | 0.08 | 0.08 | 0.08 | 0.05 | -0.04 | -0.06 | -0.06 | -0.05 | -0.02 | -0.02 | -0.02 | -0.03 | -0.01 | 0.00 | 0.03 | -0.05 | 0.00 | 0.01 | 0.05 | 0.03 | 0.04 | 0.06 | 0.04 | 0.04 | 0.01 | 0.05 | 0.12 | 0.03 | 0.04 | 0.00 | 0.09 | 0.10 | 0.04 | 0.06 | 0.04 | -0.08 | 0.07 | 0.00 | 0.01 |
| Canola | 0.44 | 0.34 | 0.65 | 0.65 | 0.52 | -0.03 | 0.07 | 0.05 | 0.01 | 0.20 | 1.00 | -0.02 | 0.03 | 0.02 | 0.07 | 0.08 | 0.07 | -0.03 | 0.03 | 0.12 | 0.05 | 0.04 | 0.12 | 0.08 | 0.05 | 0.05 | 0.04 | 0.02 | 0.01 | -0.06 | -0.06 | -0.05 | -0.06 | -0.05 | -0.05 | -0.06 | -0.02 | 0.01 | -0.04 | -0.01 | -0.04 | -0.05 | -0.07 | 0.02 | 0.03 | 0.06 | 0.06 | 0.10 | 0.02 | -0.01 | 0.02 | 0.06 | 0.06 | 0.05 | 0.00 | 0.05 | 0.09 | 0.03 | 0.03 | 0.05 | 0.04 | 0.05 | 0.02 | 0.07 |
| Orange Juice | 0.04 | -0.02 | 0.03 | 0.04 | 0.05 | -0.02 | 0.06 | 0.09 | 0.04 | 0.04 | -0.02 | 1.00 | 0.05 | 0.01 | 0.04 | 0.03 | 0.04 | 0.01 | 0.06 | 0.05 | 0.05 | 0.05 | 0.11 | 0.10 | 0.05 | 0.05 | 0.05 | 0.02 | 0.04 | 0.05 | 0.03 | 0.05 | 0.04 | 0.03 | 0.02 | 0.02 | 0.03 | 0.04 | 0.03 | 0.00 | 0.05 | 0.02 | 0.03 | 0.05 | 0.02 | 0.03 | 0.01 | 0.04 | 0.05 | -0.01 | 0.05 | 0.10 | 0.01 | 0.03 | -0.02 | 0.01 | 0.02 | 0.02 | 0.04 | 0.00 | -0.04 | 0.01 | 0.03 | 0.06 |
| Lumber | 0.05 | 0.03 | 0.03 | 0.04 | 0.03 | 0.03 | 0.01 | 0.08 | 0.10 | 0.04 | 0.03 | 0.05 | 1.00 | -0.07 | -0.02 | -0.01 | 0.00 | 0.00 | 0.00 | 0.03 | 0.05 | 0.04 | 0.04 | 0.01 | 0.04 | 0.05 | 0.06 | 0.03 | 0.03 | -0.03 | -0.06 | -0.05 | -0.05 | -0.01 | -0.01 | -0.01 | -0.04 | 0.06 | 0.00 | 0.05 | -0.04 | -0.03 | 0.01 | 0.06 | 0.06 | 0.08 | 0.05 | 0.06 | 0.06 | 0.00 | 0.06 | 0.05 | 0.07 | 0.06 | 0.01 | -0.01 | 0.00 | 0.03 | 0.06 | 0.02 | -0.04 | -0.02 | -0.06 | -0.03 |
| Natural Gas | 0.07 | 0.01 | 0.11 | 0.10 | 0.10 | -0.01 | 0.04 | 0.03 | 0.04 | 0.01 | 0.02 | 0.01 | -0.07 | 1.00 | 0.41 | 0.37 | 0.46 | 0.01 | 0.27 | 0.21 | 0.09 | 0.09 | 0.10 | 0.12 | 0.02 | 0.04 | 0.08 | 0.07 | 0.04 | 0.04 | 0.04 | 0.03 | 0.04 | 0.08 | 0.08 | 0.09 | 0.05 | -0.01 | 0.06 | 0.02 | 0.06 | 0.06 | 0.08 | -0.01 | -0.03 | -0.04 | -0.02 | -0.01 | -0.01 | -0.06 | -0.04 | 0.11 | -0.02 | 0.00 | 0.04 | 0.06 | 0.04 | 0.02 | 0.08 | 0.04 | -0.10 | 0.07 | 0.05 | 0.05 |
| Crude Oil | 0.12 | 0.11 | 0.15 | 0.16 | 0.11 | 0.02 | 0.10 | 0.09 | 0.04 | 0.12 | 0.07 | 0.04 | -0.02 | 0.41 | 1.00 | 0.91 | 0.87 | 0.07 | 0.53 | 0.42 | 0.18 | 0.16 | 0.21 | 0.24 | 0.06 | 0.13 | 0.15 | 0.12 | 0.07 | 0.05 | 0.05 | 0.04 | 0.05 | 0.07 | 0.07 | 0.07 | 0.04 | 0.00 | 0.09 | 0.02 | 0.07 | 0.05 | 0.08 | -0.09 | -0.09 | -0.06 | 0.01 | -0.01 | -0.11 | 0.02 | -0.14 | 0.17 | -0.01 | 0.05 | 0.05 | 0.12 | 0.14 | 0.10 | 0.15 | 0.09 | -0.19 | 0.13 | 0.04 | 0.09 |
| Brent Crude | 0.14 | 0.11 | 0.15 | 0.16 | 0.11 | 0.02 | 0.10 | 0.09 | 0.05 | 0.11 | 0.08 | 0.03 | -0.01 | 0.37 | 0.91 | 1.00 | 0.82 | 0.09 | 0.60 | 0.41 | 0.19 | 0.17 | 0.20 | 0.24 | 0.06 | 0.12 | 0.14 | 0.12 | 0.08 | 0.05 | 0.05 | 0.04 | 0.05 | 0.07 | 0.08 | 0.08 | 0.05 | 0.00 | 0.09 | 0.02 | 0.07 | 0.06 | 0.09 | -0.09 | -0.10 | -0.08 | 0.02 | -0.02 | -0.11 | 0.02 | -0.14 | 0.16 | -0.03 | 0.05 | 0.03 | 0.14 | 0.16 | 0.11 | 0.16 | 0.12 | -0.19 | 0.15 | 0.05 | 0.10 |
| Heating Oil | 0.12 | 0.10 | 0.14 | 0.15 | 0.10 | 0.00 | 0.11 | 0.10 | 0.03 | 0.11 | 0.07 | 0.04 | 0.00 | 0.46 | 0.87 | 0.82 | 1.00 | 0.05 | 0.61 | 0.41 | 0.15 | 0.15 | 0.19 | 0.23 | 0.04 | 0.11 | 0.12 | 0.11 | 0.06 | 0.06 | 0.07 | 0.07 | 0.07 | 0.07 | 0.08 | 0.08 | 0.05 | 0.00 | 0.09 | -0.01 | 0.09 | 0.04 | 0.08 | -0.08 | -0.09 | -0.07 | 0.02 | -0.01 | -0.10 | 0.02 | -0.13 | 0.15 | -0.02 | 0.03 | 0.06 | 0.11 | 0.12 | 0.09 | 0.14 | 0.08 | -0.17 | 0.13 | 0.04 | 0.08 |
| Kerosene | -0.05 | -0.03 | -0.04 | 0.00 | -0.02 | -0.03 | 0.05 | 0.03 | 0.04 | -0.02 | -0.03 | 0.01 | 0.00 | 0.01 | 0.07 | 0.09 | 0.05 | 1.00 | 0.23 | 0.09 | 0.06 | 0.05 | 0.04 | 0.08 | 0.07 | 0.09 | 0.07 | 0.08 | 0.06 | 0.01 | 0.02 | 0.02 | 0.02 | 0.00 | 0.00 | 0.02 | 0.02 | 0.00 | 0.00 | -0.04 | 0.02 | 0.02 | 0.02 | -0.05 | -0.07 | -0.05 | -0.02 | -0.04 | -0.07 | -0.02 | -0.07 | -0.01 | -0.07 | 0.02 | 0.02 | 0.01 | 0.06 | 0.02 | -0.01 | 0.03 | -0.07 | 0.02 | -0.08 | -0.05 |
| Gas Oil | 0.07 | 0.07 | 0.10 | 0.11 | 0.07 | -0.02 | 0.12 | 0.08 | 0.08 | 0.10 | 0.03 | 0.06 | 0.00 | 0.27 | 0.53 | 0.60 | 0.61 | 0.23 | 1.00 | 0.20 | 0.13 | 0.13 | 0.17 | 0.19 | 0.08 | 0.11 | 0.10 | 0.11 | 0.06 | 0.02 | 0.07 | 0.07 | 0.05 | 0.11 | 0.12 | 0.12 | 0.04 | 0.01 | 0.11 | -0.01 | 0.08 | 0.08 | 0.13 | -0.09 | -0.10 | -0.09 | -0.01 | -0.05 | -0.09 | 0.00 | -0.13 | 0.08 | -0.07 | 0.03 | -0.01 | 0.11 | 0.16 | 0.14 | 0.14 | 0.09 | -0.19 | 0.13 | 0.06 | 0.09 |
| Gasoline | 0.12 | 0.08 | 0.14 | 0.20 | 0.08 | 0.00 | 0.14 | 0.08 | 0.05 | 0.09 | 0.12 | 0.05 | 0.03 | 0.21 | 0.42 | 0.41 | 0.41 | 0.09 | 0.20 | 1.00 | 0.15 | 0.13 | 0.18 | 0.21 | 0.07 | 0.14 | 0.15 | 0.10 | 0.06 | 0.01 | 0.01 | 0.01 | 0.01 | 0.00 | 0.00 | -0.01 | 0.00 | 0.03 | 0.01 | 0.00 | 0.01 | -0.01 | -0.01 | 0.03 | 0.03 | 0.04 | 0.03 | 0.09 | -0.01 | 0.05 | 0.00 | 0.20 | 0.07 | 0.09 | 0.02 | 0.07 | 0.10 | 0.03 | 0.10 | 0.06 | -0.11 | 0.05 | 0.00 | 0.05 |
| Copper NY | 0.09 | 0.08 | 0.10 | 0.13 | 0.08 | 0.05 | 0.15 | 0.12 | 0.08 | 0.13 | 0.05 | 0.05 | 0.05 | 0.09 | 0.18 | 0.19 | 0.15 | 0.06 | 0.13 | 0.15 | 1.00 | 0.88 | 0.44 | 0.43 | 0.17 | 0.33 | 0.68 | 0.68 | 0.51 | -0.02 | -0.04 | -0.04 | -0.04 | -0.04 | -0.03 | -0.02 | -0.03 | -0.04 | -0.04 | -0.04 | -0.04 | -0.04 | -0.06 | 0.15 | 0.19 | 0.21 | 0.18 | 0.25 | 0.09 | 0.05 | 0.14 | 0.25 | 0.23 | 0.23 | 0.15 | 0.18 | 0.17 | 0.20 | 0.26 | 0.17 | -0.18 | 0.15 | 0.08 | 0.18 |
| Copper LDN | 0.09 | 0.08 | 0.08 | 0.12 | 0.04 | 0.04 | 0.14 | 0.12 | 0.08 | 0.10 | 0.04 | 0.05 | 0.04 | 0.09 | 0.16 | 0.17 | 0.15 | 0.05 | 0.13 | 0.13 | 0.88 | 1.00 | 0.41 | 0.41 | 0.18 | 0.32 | 0.74 | 0.75 | 0.54 | -0.02 | -0.05 | -0.03 | -0.04 | -0.04 | -0.03 | -0.02 | -0.03 | -0.04 | -0.04 | -0.03 | -0.04 | -0.03 | -0.05 | 0.13 | 0.18 | 0.19 | 0.18 | 0.26 | 0.09 | 0.06 | 0.13 | 0.24 | 0.23 | 0.24 | 0.13 | 0.17 | 0.16 | 0.22 | 0.26 | 0.17 | -0.19 | 0.15 | 0.07 | 0.20 |
| Silver | 0.17 | 0.12 | 0.15 | 0.18 | 0.09 | 0.00 | 0.13 | 0.14 | 0.14 | 0.14 | 0.12 | 0.11 | 0.04 | 0.10 | 0.21 | 0.20 | 0.19 | 0.04 | 0.17 | 0.18 | 0.44 | 0.41 | 1.00 | 0.76 | 0.27 | 0.50 | 0.39 | 0.40 | 0.26 | 0.06 | 0.07 | 0.09 | 0.07 | 0.09 | 0.11 | 0.12 | 0.07 | -0.02 | 0.07 | -0.04 | 0.09 | 0.06 | 0.09 | 0.03 | 0.05 | 0.05 | 0.14 | 0.14 | -0.01 | 0.02 | 0.02 | 0.21 | 0.09 | 0.19 | 0.15 | 0.40 | 0.36 | 0.37 | 0.45 | 0.39 | -0.36 | 0.37 | 0.19 | 0.31 |
| Gold | 0.16 | 0.11 | 0.12 | 0.17 | 0.08 | 0.00 | 0.10 | 0.12 | 0.12 | 0.14 | 0.08 | 0.10 | 0.01 | 0.12 | 0.24 | 0.24 | 0.23 | 0.08 | 0.19 | 0.21 | 0.43 | 0.41 | 0.76 | 1.00 | 0.27 | 0.49 | 0.38 | 0.39 | 0.26 | 0.11 | 0.12 | 0.13 | 0.12 | 0.19 | 0.21 | 0.22 | 0.11 | 0.00 | 0.17 | -0.04 | 0.12 | 0.12 | 0.17 | -0.03 | -0.06 | -0.06 | 0.13 | 0.07 | -0.08 | 0.02 | -0.06 | 0.20 | -0.01 | 0.15 | 0.14 | 0.53 | 0.47 | 0.40 | 0.51 | 0.45 | -0.41 | 0.49 | 0.27 | 0.39 |
| Platinum | 0.01 | -0.02 | 0.05 | 0.06 | 0.06 | -0.02 | 0.04 | 0.07 | 0.06 | -0.01 | 0.05 | 0.05 | 0.04 | 0.02 | 0.06 | 0.06 | 0.04 | 0.07 | 0.08 | 0.07 | 0.17 | 0.18 | 0.27 | 0.27 | 1.00 | 0.27 | 0.18 | 0.12 | 0.11 | 0.01 | 0.01 | 0.00 | 0.01 | 0.05 | 0.04 | 0.03 | 0.00 | 0.03 | 0.04 | 0.01 | -0.01 | 0.02 | 0.04 | 0.00 | -0.02 | -0.01 | 0.01 | 0.01 | -0.01 | -0.01 | -0.01 | 0.07 | 0.01 | 0.05 | 0.00 | 0.15 | 0.13 | 0.17 | 0.21 | 0.16 | -0.12 | 0.14 | 0.05 | 0.12 |
| Palladium | 0.09 | 0.08 | 0.10 | 0.10 | 0.08 | -0.01 | 0.10 | 0.12 | 0.08 | 0.08 | 0.05 | 0.05 | 0.05 | 0.04 | 0.13 | 0.12 | 0.11 | 0.09 | 0.11 | 0.14 | 0.33 | 0.32 | 0.50 | 0.49 | 0.27 | 1.00 | 0.33 | 0.31 | 0.22 | 0.01 | 0.01 | 0.03 | 0.01 | 0.08 | 0.10 | 0.11 | 0.03 | 0.01 | 0.07 | -0.03 | 0.01 | 0.06 | 0.07 | 0.07 | 0.05 | 0.05 | 0.12 | 0.09 | 0.03 | 0.01 | 0.05 | 0.19 | 0.06 | 0.15 | 0.08 | 0.28 | 0.25 | 0.27 | 0.32 | 0.26 | -0.27 | 0.26 | 0.16 | 0.27 |
| Aluminium | 0.11 | 0.09 | 0.09 | 0.13 | 0.05 | 0.04 | 0.13 | 0.12 | 0.07 | 0.08 | 0.04 | 0.05 | 0.06 | 0.08 | 0.15 | 0.14 | 0.12 | 0.07 | 0.10 | 0.15 | 0.68 | 0.74 | 0.39 | 0.38 | 0.18 | 0.33 | 1.00 | 0.69 | 0.48 | -0.02 | -0.04 | -0.03 | -0.03 | -0.02 | -0.02 | -0.02 | -0.02 | -0.02 | -0.03 | -0.03 | -0.02 | -0.01 | -0.03 | 0.11 | 0.13 | 0.15 | 0.15 | 0.21 | 0.07 | 0.06 | 0.11 | 0.23 | 0.18 | 0.20 | 0.15 | 0.20 | 0.17 | 0.20 | 0.24 | 0.19 | -0.19 | 0.18 | 0.10 | 0.22 |
| Zinc | 0.10 | 0.07 | 0.05 | 0.08 | 0.02 | 0.04 | 0.12 | 0.12 | 0.10 | 0.08 | 0.02 | 0.02 | 0.03 | 0.07 | 0.12 | 0.12 | 0.11 | 0.08 | 0.11 | 0.10 | 0.68 | 0.75 | 0.40 | 0.39 | 0.12 | 0.31 | 0.69 | 1.00 | 0.53 | -0.01 | -0.05 | -0.04 | -0.03 | -0.04 | -0.04 | -0.03 | -0.02 | -0.05 | -0.03 | -0.06 | -0.04 | -0.05 | -0.05 | 0.12 | 0.15 | 0.16 | 0.18 | 0.24 | 0.08 | 0.09 | 0.11 | 0.21 | 0.20 | 0.24 | 0.17 | 0.17 | 0.15 | 0.20 | 0.24 | 0.17 | -0.19 | 0.13 | 0.06 | 0.21 |
| Nickel | 0.03 | 0.02 | 0.03 | 0.03 | 0.03 | 0.06 | 0.06 | 0.11 | 0.02 | 0.05 | 0.01 | 0.04 | 0.03 | 0.04 | 0.07 | 0.08 | 0.06 | 0.06 | 0.06 | 0.06 | 0.51 | 0.54 | 0.26 | 0.26 | 0.11 | 0.22 | 0.48 | 0.53 | 1.00 | -0.02 | -0.04 | -0.03 | -0.04 | -0.02 | -0.01 | 0.00 | -0.03 | -0.02 | -0.01 | -0.03 | -0.03 | 0.00 | -0.01 | 0.13 | 0.12 | 0.13 | 0.13 | 0.18 | 0.09 | 0.10 | 0.11 | 0.20 | 0.15 | 0.15 | 0.11 | 0.13 | 0.10 | 0.15 | 0.19 | 0.11 | -0.11 | 0.12 | 0.03 | 0.14 |
| Treasury Bonds | -0.03 | -0.01 | -0.02 | -0.01 | -0.02 | -0.01 | 0.00 | 0.02 | -0.04 | -0.04 | -0.06 | 0.05 | -0.03 | 0.04 | 0.05 | 0.05 | 0.06 | 0.01 | 0.02 | 0.01 | -0.02 | -0.02 | 0.06 | 0.11 | 0.01 | 0.01 | -0.02 | -0.01 | -0.02 | 1.00 | 0.92 | 0.80 | 0.96 | 0.65 | 0.63 | 0.57 | 0.82 | 0.09 | 0.55 | 0.02 | 0.74 | 0.36 | 0.43 | -0.17 | -0.28 | -0.28 | -0.05 | -0.23 | -0.20 | -0.04 | -0.19 | -0.11 | -0.24 | -0.07 | -0.06 | 0.29 | 0.23 | 0.10 | 0.15 | 0.24 | -0.09 | 0.30 | 0.24 | 0.11 |
| 5 yr T-Notes US | -0.01 | -0.01 | -0.03 | -0.02 | -0.02 | -0.03 | 0.01 | -0.01 | -0.05 | -0.06 | -0.06 | 0.03 | -0.06 | 0.04 | 0.05 | 0.05 | 0.07 | 0.02 | 0.07 | 0.01 | -0.04 | -0.05 | 0.07 | 0.12 | 0.01 | 0.01 | -0.04 | -0.05 | -0.04 | 0.92 | 1.00 | 0.94 | 0.98 | 0.64 | 0.64 | 0.61 | 0.81 | 0.10 | 0.55 | 0.02 | 0.88 | 0.40 | 0.48 | -0.21 | -0.31 | -0.32 | -0.06 | -0.25 | -0.22 | -0.06 | -0.23 | -0.13 | -0.27 | -0.11 | -0.07 | 0.31 | 0.24 | 0.10 | 0.16 | 0.24 | -0.09 | 0.34 | 0.28 | 0.11 |
| 2 yr T-Note US | -0.01 | -0.02 | -0.04 | -0.03 | -0.03 | -0.04 | 0.02 | 0.01 | -0.04 | -0.06 | -0.05 | 0.05 | -0.05 | 0.03 | 0.04 | 0.04 | 0.07 | 0.02 | 0.07 | 0.01 | -0.04 | -0.03 | 0.09 | 0.13 | 0.00 | 0.03 | -0.03 | -0.04 | -0.03 | 0.80 | 0.94 | 1.00 | 0.89 | 0.58 | 0.60 | 0.59 | 0.75 | 0.10 | 0.51 | 0.01 | 0.92 | 0.39 | 0.46 | -0.20 | -0.29 | -0.30 | -0.06 | -0.25 | -0.21 | -0.07 | -0.22 | -0.12 | -0.26 | -0.15 | -0.06 | 0.30 | 0.24 | 0.10 | 0.15 | 0.24 | -0.09 | 0.34 | 0.29 | 0.10 |
| 10yr T-Notes | -0.02 | -0.01 | -0.02 | -0.01 | -0.02 | -0.02 | 0.01 | 0.00 | -0.05 | -0.05 | -0.06 | 0.04 | -0.05 | 0.04 | 0.05 | 0.05 | 0.07 | 0.02 | 0.05 | 0.01 | -0.04 | -0.04 | 0.07 | 0.12 | 0.01 | 0.01 | -0.03 | -0.03 | -0.04 | 0.96 | 0.98 | 0.89 | 1.00 | 0.67 | 0.65 | 0.61 | 0.83 | 0.11 | 0.57 | 0.02 | 0.83 | 0.40 | 0.47 | -0.19 | -0.30 | -0.31 | -0.07 | -0.24 | -0.21 | -0.05 | -0.21 | -0.12 | -0.26 | -0.09 | -0.07 | 0.31 | 0.24 | 0.11 | 0.16 | 0.24 | -0.08 | 0.33 | 0.26 | 0.11 |
| Euro-Bund | -0.02 | -0.01 | -0.03 | -0.02 | -0.03 | -0.02 | -0.02 | 0.02 | -0.01 | -0.02 | -0.05 | 0.03 | -0.01 | 0.08 | 0.07 | 0.07 | 0.07 | 0.00 | 0.11 | 0.00 | -0.04 | -0.04 | 0.09 | 0.19 | 0.05 | 0.08 | -0.02 | -0.04 | -0.02 | 0.65 | 0.64 | 0.58 | 0.67 | 1.00 | 0.96 | 0.88 | 0.65 | 0.16 | 0.82 | 0.06 | 0.55 | 0.55 | 0.72 | -0.21 | -0.36 | -0.37 | -0.13 | -0.30 | -0.21 | -0.08 | -0.22 | -0.13 | -0.35 | -0.14 | -0.12 | 0.37 | 0.27 | 0.15 | 0.22 | 0.27 | -0.14 | 0.39 | 0.31 | 0.18 |
| Euro-Bobl | 0.00 | 0.00 | -0.03 | -0.01 | -0.02 | -0.01 | -0.02 | 0.01 | -0.01 | -0.02 | -0.05 | 0.02 | -0.01 | 0.08 | 0.07 | 0.08 | 0.08 | 0.00 | 0.12 | 0.00 | -0.03 | -0.03 | 0.11 | 0.21 | 0.04 | 0.10 | -0.02 | -0.04 | -0.01 | 0.63 | 0.64 | 0.60 | 0.65 | 0.96 | 1.00 | 0.95 | 0.63 | 0.15 | 0.78 | 0.06 | 0.58 | 0.59 | 0.79 | -0.20 | -0.37 | -0.38 | -0.13 | -0.31 | -0.22 | -0.08 | -0.22 | -0.13 | -0.35 | -0.14 | -0.11 | 0.40 | 0.30 | 0.17 | 0.24 | 0.28 | -0.17 | 0.42 | 0.32 | 0.18 |
| Euro-Schatz | 0.00 | -0.01 | -0.03 | -0.02 | -0.03 | 0.00 | -0.01 | 0.02 | 0.01 | -0.02 | -0.06 | 0.02 | -0.01 | 0.09 | 0.07 | 0.08 | 0.08 | 0.02 | 0.12 | -0.01 | -0.02 | -0.02 | 0.12 | 0.22 | 0.03 | 0.11 | -0.02 | -0.03 | 0.00 | 0.57 | 0.61 | 0.59 | 0.61 | 0.88 | 0.95 | 1.00 | 0.59 | 0.13 | 0.70 | 0.06 | 0.57 | 0.60 | 0.82 | -0.20 | -0.34 | -0.36 | -0.12 | -0.30 | -0.21 | -0.07 | -0.22 | -0.12 | -0.34 | -0.15 | -0.10 | 0.39 | 0.30 | 0.18 | 0.24 | 0.29 | -0.17 | 0.41 | 0.30 | 0.17 |
| Canadian Bond | -0.01 | 0.01 | -0.02 | -0.01 | -0.02 | 0.01 | -0.01 | 0.00 | -0.04 | -0.03 | -0.02 | 0.03 | -0.04 | 0.05 | 0.04 | 0.05 | 0.05 | 0.02 | 0.04 | 0.00 | -0.03 | -0.03 | 0.07 | 0.11 | 0.00 | 0.03 | -0.02 | -0.02 | -0.03 | 0.82 | 0.81 | 0.75 | 0.83 | 0.65 | 0.63 | 0.59 | 1.00 | 0.09 | 0.55 | 0.04 | 0.72 | 0.39 | 0.47 | -0.18 | -0.28 | -0.29 | -0.07 | -0.24 | -0.20 | -0.07 | -0.20 | -0.11 | -0.25 | -0.10 | -0.08 | 0.31 | 0.24 | 0.12 | 0.18 | 0.25 | -0.08 | 0.33 | 0.25 | 0.14 |
| JGB Japan | -0.03 | 0.02 | 0.00 | 0.02 | 0.00 | -0.02 | 0.01 | 0.01 | -0.03 | -0.01 | 0.01 | 0.04 | 0.06 | -0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 0.03 | -0.04 | -0.04 | -0.02 | 0.00 | 0.03 | 0.01 | -0.02 | -0.05 | -0.02 | 0.09 | 0.10 | 0.10 | 0.11 | 0.16 | 0.15 | 0.13 | 0.09 | 1.00 | 0.17 | 0.43 | 0.08 | 0.19 | 0.15 | -0.09 | -0.11 | -0.10 | -0.20 | -0.11 | -0.08 | -0.02 | -0.09 | -0.12 | -0.13 | -0.12 | -0.41 | 0.07 | 0.05 | 0.02 | -0.04 | 0.05 | 0.01 | 0.09 | -0.02 | 0.02 |
| Gilts UK | -0.02 | -0.01 | -0.04 | -0.01 | -0.05 | -0.02 | 0.00 | 0.02 | 0.01 | 0.00 | -0.04 | 0.03 | 0.00 | 0.06 | 0.09 | 0.09 | 0.09 | 0.00 | 0.11 | 0.01 | -0.04 | -0.04 | 0.07 | 0.17 | 0.04 | 0.07 | -0.03 | -0.03 | -0.01 | 0.55 | 0.55 | 0.51 | 0.57 | 0.82 | 0.78 | 0.70 | 0.55 | 0.17 | 1.00 | 0.08 | 0.48 | 0.54 | 0.68 | -0.19 | -0.32 | -0.33 | -0.15 | -0.30 | -0.19 | -0.09 | -0.21 | -0.14 | -0.35 | -0.16 | -0.13 | 0.32 | 0.23 | 0.12 | 0.18 | 0.17 | -0.12 | 0.33 | 0.27 | 0.16 |
| Euroyen | -0.03 | -0.04 | -0.03 | 0.02 | -0.01 | 0.02 | -0.04 | -0.02 | -0.07 | 0.03 | -0.01 | 0.00 | 0.05 | 0.02 | 0.02 | 0.02 | -0.01 | -0.04 | -0.01 | 0.00 | -0.04 | -0.03 | -0.04 | -0.04 | 0.01 | -0.03 | -0.03 | -0.06 | -0.03 | 0.02 | 0.02 | 0.01 | 0.02 | 0.06 | 0.06 | 0.06 | 0.04 | 0.43 | 0.08 | 1.00 | 0.16 | 0.34 | 0.30 | -0.08 | -0.08 | -0.08 | -0.13 | -0.09 | -0.07 | -0.09 | -0.09 | -0.07 | -0.10 | -0.12 | -0.22 | 0.01 | 0.02 | -0.05 | -0.08 | -0.02 | 0.03 | 0.03 | -0.05 | -0.05 |
| Eurodollar | 0.01 | -0.03 | -0.03 | -0.01 | -0.01 | -0.03 | 0.02 | 0.00 | -0.05 | -0.05 | -0.04 | 0.05 | -0.04 | 0.06 | 0.07 | 0.07 | 0.09 | 0.02 | 0.08 | 0.01 | -0.04 | -0.04 | 0.09 | 0.12 | -0.01 | 0.01 | -0.02 | -0.04 | -0.03 | 0.74 | 0.88 | 0.92 | 0.83 | 0.55 | 0.58 | 0.57 | 0.72 | 0.08 | 0.48 | 0.16 | 1.00 | 0.46 | 0.55 | -0.19 | -0.28 | -0.29 | -0.06 | -0.23 | -0.19 | -0.07 | -0.22 | -0.11 | -0.24 | -0.15 | -0.07 | 0.30 | 0.23 | 0.08 | 0.14 | 0.23 | -0.07 | 0.34 | 0.30 | 0.11 |
| Euroswiss | 0.01 | -0.04 | -0.04 | -0.01 | -0.02 | -0.05 | 0.00 | 0.00 | -0.01 | 0.00 | -0.05 | 0.02 | -0.03 | 0.06 | 0.05 | 0.06 | 0.04 | 0.02 | 0.08 | -0.01 | -0.04 | -0.03 | 0.06 | 0.12 | 0.02 | 0.06 | -0.01 | -0.05 | 0.00 | 0.36 | 0.40 | 0.39 | 0.40 | 0.55 | 0.59 | 0.60 | 0.39 | 0.19 | 0.54 | 0.34 | 0.46 | 1.00 | 0.74 | -0.16 | -0.26 | -0.26 | -0.16 | -0.24 | -0.17 | -0.10 | -0.18 | -0.13 | -0.27 | -0.16 | -0.18 | 0.23 | 0.16 | 0.09 | 0.12 | 0.13 | -0.07 | 0.23 | 0.19 | 0.11 |
| Euribor | 0.00 | -0.03 | -0.06 | -0.01 | -0.06 | -0.02 | -0.01 | 0.00 | 0.00 | 0.01 | -0.07 | 0.03 | 0.01 | 0.08 | 0.08 | 0.09 | 0.08 | 0.02 | 0.13 | -0.01 | -0.06 | -0.05 | 0.09 | 0.17 | 0.04 | 0.07 | -0.03 | -0.05 | -0.01 | 0.43 | 0.48 | 0.46 | 0.47 | 0.72 | 0.79 | 0.82 | 0.47 | 0.15 | 0.68 | 0.30 | 0.55 | 0.74 | 1.00 | -0.16 | -0.29 | -0.30 | -0.14 | -0.27 | -0.18 | -0.13 | -0.19 | -0.11 | -0.32 | -0.16 | -0.15 | 0.31 | 0.24 | 0.14 | 0.19 | 0.21 | -0.12 | 0.34 | 0.25 | 0.14 |
| SP500 E-Mini | 0.07 | 0.02 | 0.04 | 0.02 | 0.05 | 0.01 | -0.01 | 0.09 | 0.04 | 0.05 | 0.02 | 0.05 | 0.06 | -0.01 | -0.09 | -0.09 | -0.08 | -0.05 | -0.09 | 0.03 | 0.15 | 0.13 | 0.03 | -0.03 | 0.00 | 0.07 | 0.11 | 0.12 | 0.13 | -0.17 | -0.21 | -0.20 | -0.19 | -0.21 | -0.20 | -0.20 | -0.18 | -0.09 | -0.19 | -0.08 | -0.19 | -0.16 | -0.16 | 1.00 | 0.62 | 0.63 | 0.13 | 0.46 | 0.87 | 0.18 | 0.96 | 0.64 | 0.52 | 0.28 | 0.09 | -0.09 | -0.04 | 0.07 | 0.05 | -0.07 | -0.04 | -0.15 | -0.07 | 0.05 |
| DAX 30 | 0.03 | 0.01 | 0.05 | 0.01 | 0.07 | 0.03 | 0.00 | 0.08 | 0.02 | 0.03 | 0.03 | 0.02 | 0.06 | -0.03 | -0.09 | -0.10 | -0.09 | -0.07 | -0.10 | 0.03 | 0.19 | 0.18 | 0.05 | -0.06 | -0.02 | 0.05 | 0.13 | 0.15 | 0.12 | -0.28 | -0.31 | -0.29 | -0.30 | -0.36 | -0.37 | -0.34 | -0.28 | -0.11 | -0.32 | -0.08 | -0.28 | -0.26 | -0.29 | 0.62 | 1.00 | 0.96 | 0.29 | 0.74 | 0.56 | 0.06 | 0.62 | 0.43 | 0.84 | 0.40 | 0.24 | -0.25 | -0.17 | 0.01 | 0.01 | -0.16 | 0.03 | -0.31 | -0.16 | 0.01 |
| Eurostoxx | 0.04 | 0.02 | 0.07 | 0.04 | 0.08 | 0.04 | 0.00 | 0.07 | 0.02 | 0.04 | 0.06 | 0.03 | 0.08 | -0.04 | -0.06 | -0.08 | -0.07 | -0.05 | -0.09 | 0.04 | 0.21 | 0.19 | 0.05 | -0.06 | -0.01 | 0.05 | 0.15 | 0.16 | 0.13 | -0.28 | -0.32 | -0.30 | -0.31 | -0.37 | -0.38 | -0.36 | -0.29 | -0.10 | -0.33 | -0.08 | -0.29 | -0.26 | -0.30 | 0.63 | 0.96 | 1.00 | 0.27 | 0.79 | 0.57 | 0.09 | 0.63 | 0.45 | 0.88 | 0.42 | 0.20 | -0.25 | -0.16 | 0.02 | 0.02 | -0.17 | 0.03 | -0.31 | -0.17 | 0.01 |
| Hang Seng | 0.03 | 0.01 | 0.08 | 0.09 | 0.07 | 0.00 | 0.08 | 0.12 | 0.10 | 0.06 | 0.06 | 0.01 | 0.05 | -0.02 | 0.01 | 0.02 | 0.02 | -0.02 | -0.01 | 0.03 | 0.18 | 0.18 | 0.14 | 0.13 | 0.01 | 0.12 | 0.15 | 0.18 | 0.13 | -0.05 | -0.06 | -0.06 | -0.07 | -0.13 | -0.13 | -0.12 | -0.07 | -0.20 | -0.15 | -0.13 | -0.06 | -0.16 | -0.14 | 0.13 | 0.29 | 0.27 | 1.00 | 0.34 | 0.16 | 0.02 | 0.12 | 0.20 | 0.35 | 0.28 | 0.54 | 0.03 | 0.09 | 0.17 | 0.22 | 0.09 | -0.10 | -0.01 | -0.01 | 0.17 |
| FTSE 100 UK | 0.05 | 0.03 | 0.10 | 0.10 | 0.08 | 0.06 | 0.02 | 0.06 | 0.00 | 0.04 | 0.10 | 0.04 | 0.06 | -0.01 | -0.01 | -0.02 | -0.01 | -0.04 | -0.05 | 0.09 | 0.25 | 0.26 | 0.14 | 0.07 | 0.01 | 0.09 | 0.21 | 0.24 | 0.18 | -0.23 | -0.25 | -0.25 | -0.24 | -0.30 | -0.31 | -0.30 | -0.24 | -0.11 | -0.30 | -0.09 | -0.23 | -0.24 | -0.27 | 0.46 | 0.74 | 0.79 | 0.34 | 1.00 | 0.40 | 0.14 | 0.47 | 0.41 | 0.86 | 0.52 | 0.27 | -0.17 | -0.06 | 0.08 | 0.10 | -0.14 | -0.04 | -0.24 | -0.18 | 0.04 |
| Nasdaq 100 Mini | 0.03 | 0.03 | 0.05 | 0.01 | 0.07 | 0.00 | -0.02 | 0.10 | 0.01 | 0.04 | 0.02 | 0.05 | 0.06 | -0.01 | -0.11 | -0.11 | -0.10 | -0.07 | -0.09 | -0.01 | 0.09 | 0.09 | -0.01 | -0.08 | -0.01 | 0.03 | 0.07 | 0.08 | 0.09 | -0.20 | -0.22 | -0.21 | -0.21 | -0.21 | -0.22 | -0.21 | -0.20 | -0.08 | -0.19 | -0.07 | -0.19 | -0.17 | -0.18 | 0.87 | 0.56 | 0.57 | 0.16 | 0.40 | 1.00 | 0.13 | 0.83 | 0.55 | 0.48 | 0.22 | 0.13 | -0.13 | -0.08 | 0.03 | 0.02 | -0.11 | -0.02 | -0.17 | -0.09 | 0.01 |
| Russel 2000 E-Mini | 0.02 | 0.01 | 0.00 | 0.00 | 0.01 | -0.01 | 0.01 | -0.02 | -0.01 | 0.01 | -0.01 | -0.01 | 0.00 | -0.06 | 0.02 | 0.02 | 0.02 | -0.02 | 0.00 | 0.05 | 0.05 | 0.06 | 0.02 | 0.02 | -0.01 | 0.01 | 0.06 | 0.09 | 0.10 | -0.04 | -0.06 | -0.07 | -0.05 | -0.08 | -0.08 | -0.07 | -0.07 | -0.02 | -0.09 | -0.09 | -0.07 | -0.10 | -0.13 | 0.18 | 0.06 | 0.09 | 0.02 | 0.14 | 0.13 | 1.00 | 0.16 | 0.13 | 0.13 | 0.21 | 0.00 | 0.00 | -0.01 | 0.05 | 0.03 | 0.01 | -0.03 | -0.04 | -0.10 | 0.04 |
| Dow Jones | 0.05 | 0.03 | 0.04 | 0.02 | 0.04 | 0.02 | -0.02 | 0.08 | 0.03 | 0.05 | 0.02 | 0.05 | 0.06 | -0.04 | -0.14 | -0.14 | -0.13 | -0.07 | -0.13 | 0.00 | 0.14 | 0.13 | 0.02 | -0.06 | -0.01 | 0.05 | 0.11 | 0.11 | 0.11 | -0.19 | -0.23 | -0.22 | -0.21 | -0.22 | -0.22 | -0.22 | -0.20 | -0.09 | -0.21 | -0.09 | -0.22 | -0.18 | -0.19 | 0.96 | 0.62 | 0.63 | 0.12 | 0.47 | 0.83 | 0.16 | 1.00 | 0.60 | 0.53 | 0.28 | 0.10 | -0.11 | -0.06 | 0.05 | 0.04 | -0.08 | -0.03 | -0.17 | -0.09 | 0.03 |
| TSE Toronto | 0.11 | 0.05 | 0.09 | 0.08 | 0.10 | 0.04 | 0.07 | 0.10 | 0.05 | 0.12 | 0.06 | 0.10 | 0.05 | 0.11 | 0.17 | 0.16 | 0.15 | -0.01 | 0.08 | 0.20 | 0.25 | 0.24 | 0.21 | 0.20 | 0.07 | 0.19 | 0.23 | 0.21 | 0.20 | -0.11 | -0.13 | -0.12 | -0.12 | -0.13 | -0.13 | -0.12 | -0.11 | -0.12 | -0.14 | -0.07 | -0.11 | -0.13 | -0.11 | 0.64 | 0.43 | 0.45 | 0.20 | 0.41 | 0.55 | 0.13 | 0.60 | 1.00 | 0.42 | 0.28 | 0.15 | 0.02 | 0.04 | 0.13 | 0.15 | 0.05 | -0.02 | -0.04 | -0.03 | 0.11 |
| CAC 40 France | 0.03 | 0.01 | 0.08 | 0.06 | 0.07 | 0.04 | 0.01 | 0.06 | 0.02 | 0.03 | 0.06 | 0.01 | 0.07 | -0.02 | -0.01 | -0.03 | -0.02 | -0.07 | -0.07 | 0.07 | 0.23 | 0.23 | 0.09 | -0.01 | 0.01 | 0.06 | 0.18 | 0.20 | 0.15 | -0.24 | -0.27 | -0.26 | -0.26 | -0.35 | -0.35 | -0.34 | -0.25 | -0.13 | -0.35 | -0.10 | -0.24 | -0.27 | -0.32 | 0.52 | 0.84 | 0.88 | 0.35 | 0.86 | 0.48 | 0.13 | 0.53 | 0.42 | 1.00 | 0.49 | 0.29 | -0.23 | -0.13 | 0.05 | 0.07 | -0.14 | -0.01 | -0.30 | -0.16 | 0.02 |
| OMX 30 Stockholm | 0.05 | -0.01 | 0.08 | 0.08 | 0.08 | 0.04 | 0.04 | 0.04 | 0.04 | 0.04 | 0.05 | 0.03 | 0.06 | 0.00 | 0.05 | 0.05 | 0.03 | 0.02 | 0.03 | 0.09 | 0.23 | 0.24 | 0.19 | 0.15 | 0.05 | 0.15 | 0.20 | 0.24 | 0.15 | -0.07 | -0.11 | -0.15 | -0.09 | -0.14 | -0.14 | -0.15 | -0.10 | -0.12 | -0.16 | -0.12 | -0.15 | -0.16 | -0.16 | 0.28 | 0.40 | 0.42 | 0.28 | 0.52 | 0.22 | 0.21 | 0.28 | 0.28 | 0.49 | 1.00 | 0.22 | 0.01 | 0.04 | 0.14 | 0.14 | 0.02 | -0.13 | -0.07 | -0.13 | 0.14 |
| NIKKEI 225 | 0.03 | 0.03 | 0.04 | 0.03 | 0.03 | 0.02 | 0.07 | 0.06 | 0.04 | 0.00 | 0.00 | -0.02 | 0.01 | 0.04 | 0.05 | 0.03 | 0.06 | 0.02 | -0.01 | 0.02 | 0.15 | 0.13 | 0.15 | 0.14 | 0.00 | 0.08 | 0.15 | 0.17 | 0.11 | -0.06 | -0.07 | -0.06 | -0.07 | -0.12 | -0.11 | -0.10 | -0.08 | -0.41 | -0.13 | -0.22 | -0.07 | -0.18 | -0.15 | 0.09 | 0.24 | 0.20 | 0.54 | 0.27 | 0.13 | 0.00 | 0.10 | 0.15 | 0.29 | 0.22 | 1.00 | -0.01 | 0.03 | 0.08 | 0.14 | 0.00 | -0.09 | -0.06 | 0.00 | 0.07 |
| Euro | 0.09 | 0.09 | 0.10 | 0.13 | 0.08 | 0.00 | 0.07 | 0.09 | 0.10 | 0.09 | 0.05 | 0.01 | -0.01 | 0.06 | 0.12 | 0.14 | 0.11 | 0.01 | 0.11 | 0.07 | 0.18 | 0.17 | 0.40 | 0.53 | 0.15 | 0.28 | 0.20 | 0.17 | 0.13 | 0.29 | 0.31 | 0.30 | 0.31 | 0.37 | 0.40 | 0.39 | 0.31 | 0.07 | 0.32 | 0.01 | 0.30 | 0.23 | 0.31 | -0.09 | -0.25 | -0.25 | 0.03 | -0.17 | -0.13 | 0.00 | -0.11 | 0.02 | -0.23 | 0.01 | -0.01 | 1.00 | 0.81 | 0.55 | 0.64 | 0.76 | -0.49 | 0.94 | 0.48 | 0.54 |
| Norwegian Krone | 0.10 | 0.10 | 0.13 | 0.18 | 0.09 | 0.02 | 0.10 | 0.13 | 0.09 | 0.10 | 0.09 | 0.02 | 0.00 | 0.04 | 0.14 | 0.16 | 0.12 | 0.06 | 0.16 | 0.10 | 0.17 | 0.16 | 0.36 | 0.47 | 0.13 | 0.25 | 0.17 | 0.15 | 0.10 | 0.23 | 0.24 | 0.24 | 0.24 | 0.27 | 0.30 | 0.30 | 0.24 | 0.05 | 0.23 | 0.02 | 0.23 | 0.16 | 0.24 | -0.04 | -0.17 | -0.16 | 0.09 | -0.06 | -0.08 | -0.01 | -0.06 | 0.04 | -0.13 | 0.04 | 0.03 | 0.81 | 1.00 | 0.49 | 0.55 | 0.65 | -0.41 | 0.78 | 0.37 | 0.47 |
| New Zealand Dollar | 0.08 | 0.06 | 0.10 | 0.10 | 0.07 | 0.00 | 0.07 | 0.14 | 0.15 | 0.04 | 0.03 | 0.02 | 0.03 | 0.02 | 0.10 | 0.11 | 0.09 | 0.02 | 0.14 | 0.03 | 0.20 | 0.22 | 0.37 | 0.40 | 0.17 | 0.27 | 0.20 | 0.20 | 0.15 | 0.10 | 0.10 | 0.10 | 0.11 | 0.15 | 0.17 | 0.18 | 0.12 | 0.02 | 0.12 | -0.05 | 0.08 | 0.09 | 0.14 | 0.07 | 0.01 | 0.02 | 0.17 | 0.08 | 0.03 | 0.05 | 0.05 | 0.13 | 0.05 | 0.14 | 0.08 | 0.55 | 0.49 | 1.00 | 0.81 | 0.57 | -0.42 | 0.48 | 0.27 | 0.49 |
| Australian Dollar | 0.10 | 0.08 | 0.13 | 0.13 | 0.11 | 0.02 | 0.08 | 0.14 | 0.15 | 0.06 | 0.03 | 0.04 | 0.06 | 0.08 | 0.15 | 0.16 | 0.14 | -0.01 | 0.14 | 0.10 | 0.26 | 0.26 | 0.45 | 0.51 | 0.21 | 0.32 | 0.24 | 0.24 | 0.19 | 0.15 | 0.16 | 0.15 | 0.16 | 0.22 | 0.24 | 0.24 | 0.18 | -0.04 | 0.18 | -0.08 | 0.14 | 0.12 | 0.19 | 0.05 | 0.01 | 0.02 | 0.22 | 0.10 | 0.02 | 0.03 | 0.04 | 0.15 | 0.07 | 0.14 | 0.14 | 0.64 | 0.55 | 0.81 | 1.00 | 0.60 | -0.52 | 0.57 | 0.38 | 0.54 |
| British Pound | 0.09 | 0.07 | 0.09 | 0.11 | 0.07 | -0.01 | 0.06 | 0.11 | 0.16 | 0.04 | 0.05 | 0.00 | 0.02 | 0.04 | 0.09 | 0.12 | 0.08 | 0.03 | 0.09 | 0.06 | 0.17 | 0.17 | 0.39 | 0.45 | 0.16 | 0.26 | 0.19 | 0.17 | 0.11 | 0.24 | 0.24 | 0.24 | 0.24 | 0.27 | 0.28 | 0.29 | 0.25 | 0.05 | 0.17 | -0.02 | 0.23 | 0.13 | 0.21 | -0.07 | -0.16 | -0.17 | 0.09 | -0.14 | -0.11 | 0.01 | -0.08 | 0.05 | -0.14 | 0.02 | 0.00 | 0.76 | 0.65 | 0.57 | 0.60 | 1.00 | -0.40 | 0.74 | 0.44 | 0.50 |
| Canadian Dollar | -0.05 | -0.07 | -0.08 | -0.11 | -0.06 | 0.00 | -0.02 | -0.08 | -0.08 | -0.08 | 0.04 | -0.04 | -0.04 | -0.10 | -0.19 | -0.19 | -0.17 | -0.07 | -0.19 | -0.11 | -0.18 | -0.19 | -0.36 | -0.41 | -0.12 | -0.27 | -0.19 | -0.19 | -0.11 | -0.09 | -0.09 | -0.09 | -0.08 | -0.14 | -0.17 | -0.17 | -0.08 | 0.01 | -0.12 | 0.03 | -0.07 | -0.07 | -0.12 | -0.04 | 0.03 | 0.03 | -0.10 | -0.04 | -0.02 | -0.03 | -0.03 | -0.02 | -0.01 | -0.13 | -0.09 | -0.49 | -0.41 | -0.42 | -0.52 | -0.40 | 1.00 | -0.44 | -0.26 | -0.35 |
| Swiss Franc | 0.08 | 0.09 | 0.09 | 0.12 | 0.07 | -0.02 | 0.07 | 0.07 | 0.08 | 0.07 | 0.05 | 0.01 | -0.02 | 0.07 | 0.13 | 0.15 | 0.13 | 0.02 | 0.13 | 0.05 | 0.15 | 0.15 | 0.37 | 0.49 | 0.14 | 0.26 | 0.18 | 0.13 | 0.12 | 0.30 | 0.34 | 0.34 | 0.33 | 0.39 | 0.42 | 0.41 | 0.33 | 0.09 | 0.33 | 0.03 | 0.34 | 0.23 | 0.34 | -0.15 | -0.31 | -0.31 | -0.01 | -0.24 | -0.17 | -0.04 | -0.17 | -0.04 | -0.30 | -0.07 | -0.06 | 0.94 | 0.78 | 0.48 | 0.57 | 0.74 | -0.44 | 1.00 | 0.53 | 0.51 |
| Japanese Yen | 0.03 | 0.04 | 0.02 | 0.04 | 0.02 | -0.03 | -0.02 | 0.01 | 0.04 | 0.00 | 0.02 | 0.03 | -0.06 | 0.05 | 0.04 | 0.05 | 0.04 | -0.08 | 0.06 | 0.00 | 0.08 | 0.07 | 0.19 | 0.27 | 0.05 | 0.16 | 0.10 | 0.06 | 0.03 | 0.24 | 0.28 | 0.29 | 0.26 | 0.31 | 0.32 | 0.30 | 0.25 | -0.02 | 0.27 | -0.05 | 0.30 | 0.19 | 0.25 | -0.07 | -0.16 | -0.17 | -0.01 | -0.18 | -0.09 | -0.10 | -0.09 | -0.03 | -0.16 | -0.13 | 0.00 | 0.48 | 0.37 | 0.27 | 0.38 | 0.44 | -0.26 | 0.53 | 1.00 | 0.58 |
| Singapore Dollar | 0.07 | 0.07 | 0.09 | 0.12 | 0.07 | -0.01 | 0.07 | 0.08 | 0.09 | 0.01 | 0.07 | 0.06 | -0.03 | 0.05 | 0.09 | 0.10 | 0.08 | -0.05 | 0.09 | 0.05 | 0.18 | 0.20 | 0.31 | 0.39 | 0.12 | 0.27 | 0.22 | 0.21 | 0.14 | 0.11 | 0.11 | 0.10 | 0.11 | 0.18 | 0.18 | 0.17 | 0.14 | 0.02 | 0.16 | -0.05 | 0.11 | 0.11 | 0.14 | 0.05 | 0.01 | 0.01 | 0.17 | 0.04 | 0.01 | 0.04 | 0.03 | 0.11 | 0.02 | 0.14 | 0.07 | 0.54 | 0.47 | 0.49 | 0.54 | 0.50 | -0.35 | 0.51 | 0.58 | 1.00 |
| Eigenvalue | Pct of explained variance | Cumulative pct of explained variance | |
|---|---|---|---|
| comp 1 | 11.19 | 17.49 | 17.49 |
| comp 2 | 8.02 | 12.53 | 30.02 |
| comp 3 | 4.26 | 6.65 | 36.67 |
| comp 4 | 3.55 | 5.54 | 42.21 |
| comp 5 | 3.22 | 5.02 | 47.23 |
| comp 6 | 2.51 | 3.92 | 51.16 |
| comp 7 | 2.16 | 3.38 | 54.54 |
| comp 8 | 1.55 | 2.41 | 56.95 |
| comp 9 | 1.45 | 2.27 | 59.22 |
| comp 10 | 1.37 | 2.14 | 61.36 |
| comp 11 | 1.22 | 1.90 | 63.26 |
| comp 12 | 1.16 | 1.81 | 65.06 |
| comp 13 | 1.06 | 1.65 | 66.72 |
| comp 14 | 1.04 | 1.63 | 68.34 |
| comp 15 | 1.03 | 1.60 | 69.95 |
| comp 16 | 0.99 | 1.54 | 71.49 |
| comp 17 | 0.95 | 1.48 | 72.97 |
| comp 18 | 0.94 | 1.47 | 74.45 |
| comp 19 | 0.90 | 1.40 | 75.85 |
| comp 20 | 0.88 | 1.37 | 77.22 |
| comp 21 | 0.84 | 1.32 | 78.54 |
| comp 22 | 0.81 | 1.26 | 79.80 |
| comp 23 | 0.78 | 1.22 | 81.03 |
| comp 24 | 0.73 | 1.13 | 82.16 |
| comp 25 | 0.71 | 1.10 | 83.26 |
| comp 26 | 0.70 | 1.10 | 84.36 |
| comp 27 | 0.67 | 1.05 | 85.41 |
| comp 28 | 0.65 | 1.02 | 86.43 |
| comp 29 | 0.62 | 0.96 | 87.40 |
| comp 30 | 0.58 | 0.91 | 88.31 |
| comp 31 | 0.55 | 0.86 | 89.16 |
| comp 32 | 0.51 | 0.79 | 89.96 |
| comp 33 | 0.47 | 0.74 | 90.69 |
| comp 34 | 0.43 | 0.67 | 91.36 |
| comp 35 | 0.41 | 0.64 | 92.00 |
| comp 36 | 0.39 | 0.61 | 92.61 |
| comp 37 | 0.38 | 0.60 | 93.21 |
| comp 38 | 0.37 | 0.58 | 93.79 |
| comp 39 | 0.35 | 0.54 | 94.33 |
| comp 40 | 0.34 | 0.53 | 94.87 |
| comp 41 | 0.31 | 0.48 | 95.35 |
| comp 42 | 0.30 | 0.47 | 95.82 |
| comp 43 | 0.28 | 0.44 | 96.26 |
| comp 44 | 0.27 | 0.43 | 96.69 |
| comp 45 | 0.23 | 0.35 | 97.04 |
| comp 46 | 0.22 | 0.34 | 97.38 |
| comp 47 | 0.21 | 0.32 | 97.70 |
| comp 48 | 0.19 | 0.29 | 98.00 |
| comp 49 | 0.17 | 0.27 | 98.27 |
| comp 50 | 0.16 | 0.26 | 98.52 |
| comp 51 | 0.16 | 0.24 | 98.77 |
| comp 52 | 0.15 | 0.24 | 99.01 |
| comp 53 | 0.11 | 0.17 | 99.17 |
| comp 54 | 0.10 | 0.16 | 99.33 |
| comp 55 | 0.08 | 0.13 | 99.46 |
| comp 56 | 0.07 | 0.11 | 99.57 |
| comp 57 | 0.07 | 0.11 | 99.68 |
| comp 58 | 0.05 | 0.08 | 99.76 |
| comp 59 | 0.04 | 0.07 | 99.83 |
| comp 60 | 0.03 | 0.05 | 99.88 |
| comp 61 | 0.03 | 0.04 | 99.92 |
| comp 62 | 0.03 | 0.04 | 99.97 |
| comp 63 | 0.01 | 0.02 | 99.99 |
| comp 64 | 0.01 | 0.01 | 100.00 |
corused = cor(futures_data[, apply(futures_data != 0, 2, sum) > 10, drop = F])
Rotated_Results <- principal(corused, nfactors = 20, rotate = "varimax", score = TRUE)
Rotated_Factors <- round(Rotated_Results$loadings, 2)
Rotated_Factors <- as.data.frame(unclass(Rotated_Factors))
colnames(Rotated_Factors) <- paste("comp", 1:ncol(Rotated_Factors), sep = " ")
sorted_rows <- sort(Rotated_Factors[, 1], decreasing = TRUE, index.return = TRUE)$ix
Rotated_Factors <- Rotated_Factors[sorted_rows, ]
Rotated_Factors[abs(Rotated_Factors) < 0.3] <- NA
| comp 1 | comp 2 | comp 3 | comp 4 | comp 5 | comp 6 | comp 7 | comp 8 | comp 9 | comp 10 | comp 11 | comp 12 | comp 13 | comp 14 | comp 15 | comp 16 | comp 17 | comp 18 | comp 19 | comp 20 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 5 yr T-Notes US | 0.93 | |||||||||||||||||||
| 10yr T-Notes | 0.93 | |||||||||||||||||||
| Treasury Bonds | 0.86 | |||||||||||||||||||
| 2 yr T-Note US | 0.85 | |||||||||||||||||||
| Canadian Bond | 0.79 | |||||||||||||||||||
| Eurodollar | 0.74 | -0.45 | ||||||||||||||||||
| Euro-Bund | 0.43 | 0.67 | 0.44 | |||||||||||||||||
| Euro-Bobl | 0.41 | 0.79 | ||||||||||||||||||
| Gilts UK | 0.39 | 0.55 | 0.47 | |||||||||||||||||
| Euro-Schatz | 0.34 | 0.83 | ||||||||||||||||||
| Japanese Yen | 0.33 | 0.36 | ||||||||||||||||||
| Euribor | 0.87 | |||||||||||||||||||
| Euroswiss | 0.72 | |||||||||||||||||||
| Swiss Franc | 0.74 | |||||||||||||||||||
| Euro | 0.87 | |||||||||||||||||||
| Gold | 0.34 | 0.74 | ||||||||||||||||||
| Canadian Dollar | -0.61 | |||||||||||||||||||
| JGB Japan | 0.75 | |||||||||||||||||||
| British Pound | 0.74 | |||||||||||||||||||
| Silver | 0.32 | 0.73 | ||||||||||||||||||
| Norwegian Krone | 0.79 | |||||||||||||||||||
| Kerosene | 0.87 | |||||||||||||||||||
| Sugar | 0.67 | |||||||||||||||||||
| Coffee | 0.64 | |||||||||||||||||||
| Orange Juice | 0.98 | |||||||||||||||||||
| Natural Gas | 0.91 | |||||||||||||||||||
| Euroyen | 0.83 | |||||||||||||||||||
| Singapore Dollar | 0.70 | |||||||||||||||||||
| Corn | 0.72 | |||||||||||||||||||
| Canola | 0.77 | |||||||||||||||||||
| NIKKEI 225 | 0.78 | |||||||||||||||||||
| Soybean Meal | 0.82 | |||||||||||||||||||
| Lean Hoggs | 0.99 | |||||||||||||||||||
| Gas Oil | 0.65 | 0.40 | ||||||||||||||||||
| Platinum | 0.69 | |||||||||||||||||||
| Soybeans | 0.90 | |||||||||||||||||||
| Cocoa | 0.87 | |||||||||||||||||||
| Heating Oil | 0.89 | |||||||||||||||||||
| Hang Seng | 0.78 | |||||||||||||||||||
| New Zealand Dollar | 0.73 | |||||||||||||||||||
| Wheat | 0.59 | 0.36 | ||||||||||||||||||
| Soybean Oil | 0.74 | |||||||||||||||||||
| Brent Crude | 0.90 | |||||||||||||||||||
| Palladium | 0.66 | |||||||||||||||||||
| Aluminium | 0.77 | |||||||||||||||||||
| Zinc | 0.81 | |||||||||||||||||||
| Nickel | 0.72 | |||||||||||||||||||
| Gasoline | 0.72 | |||||||||||||||||||
| Copper LDN | 0.84 | |||||||||||||||||||
| Australian Dollar | 0.72 | |||||||||||||||||||
| Cotton | 0.73 | |||||||||||||||||||
| Lumber | 0.98 | |||||||||||||||||||
| Crude Oil | 0.88 | |||||||||||||||||||
| Copper NY | 0.79 | |||||||||||||||||||
| TSE Toronto | 0.71 | |||||||||||||||||||
| OMX 30 Stockholm | 0.62 | |||||||||||||||||||
| FTSE 100 UK | 0.81 | |||||||||||||||||||
| Russel 2000 E-Mini | 0.79 | |||||||||||||||||||
| CAC 40 France | 0.85 | |||||||||||||||||||
| DAX 30 | 0.82 | 0.34 | ||||||||||||||||||
| Eurostoxx | 0.85 | 0.30 | ||||||||||||||||||
| Nasdaq 100 Mini | 0.80 | |||||||||||||||||||
| Dow Jones | 0.85 | |||||||||||||||||||
| SP500 E-Mini | 0.30 | 0.89 |
| Corn | Wheat | Soybeans | Soybean Oil | Soybean Meal | Lean Hoggs | Sugar | Coffee | Cocoa | Cotton | Canola | Orange Juice | Lumber | Natural Gas | Crude Oil | Brent Crude | Heating Oil | Kerosene | Gas Oil | Gasoline | Copper NY | Copper LDN | Silver | Gold | Platinum | Palladium | Aluminium | Zinc | Nickel | Treasury Bonds | 5 yr T-Notes US | 2 yr T-Note US | 10yr T-Notes | Euro-Bund | Euro-Bobl | Euro-Schatz | Canadian Bond | JGB Japan | Gilts UK | Euroyen | Eurodollar | Euroswiss | Euribor | SP500 E-Mini | DAX 30 | Eurostoxx | Hang Seng | FTSE 100 UK | Nasdaq 100 Mini | Russel 2000 E-Mini | Dow Jones | TSE Toronto | CAC 40 France | OMX 30 Stockholm | NIKKEI 225 | Euro | Norwegian Krone | New Zealand Dollar | Australian Dollar | British Pound | Canadian Dollar | Swiss Franc | Japanese Yen | Singapore Dollar | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Corn | 1.00 | 0.60 | 0.74 | 0.69 | 0.67 | 0.04 | 0.44 | 0.43 | 0.37 | 0.46 | 0.58 | 0.14 | 0.08 | 0.31 | 0.49 | 0.50 | 0.48 | 0.22 | 0.37 | 0.46 | 0.47 | 0.45 | 0.42 | 0.30 | 0.19 | 0.38 | 0.39 | 0.31 | 0.36 | -0.20 | -0.18 | -0.12 | -0.15 | -0.21 | -0.19 | -0.20 | -0.17 | -0.08 | -0.19 | -0.02 | -0.05 | -0.19 | -0.19 | 0.20 | 0.33 | 0.35 | 0.17 | 0.36 | 0.17 | 0.13 | 0.15 | 0.31 | 0.33 | 0.29 | 0.20 | 0.36 | 0.41 | 0.39 | 0.42 | 0.31 | -0.38 | 0.22 | -0.19 | 0.32 |
| Wheat | 0.60 | 1.00 | 0.56 | 0.54 | 0.51 | 0.12 | 0.38 | 0.42 | 0.34 | 0.43 | 0.47 | 0.09 | 0.10 | 0.17 | 0.37 | 0.39 | 0.35 | 0.08 | 0.23 | 0.35 | 0.38 | 0.38 | 0.36 | 0.27 | 0.15 | 0.28 | 0.30 | 0.27 | 0.28 | -0.22 | -0.19 | -0.14 | -0.19 | -0.15 | -0.14 | -0.14 | -0.15 | -0.08 | -0.13 | -0.05 | -0.09 | -0.14 | -0.14 | 0.21 | 0.26 | 0.27 | 0.10 | 0.29 | 0.18 | 0.17 | 0.15 | 0.27 | 0.27 | 0.23 | 0.12 | 0.26 | 0.33 | 0.34 | 0.33 | 0.22 | -0.34 | 0.14 | -0.12 | 0.24 |
| Soybeans | 0.74 | 0.56 | 1.00 | 0.87 | 0.89 | 0.10 | 0.45 | 0.44 | 0.36 | 0.48 | 0.75 | 0.14 | 0.13 | 0.27 | 0.49 | 0.53 | 0.51 | 0.16 | 0.36 | 0.49 | 0.45 | 0.43 | 0.46 | 0.31 | 0.21 | 0.41 | 0.38 | 0.34 | 0.36 | -0.23 | -0.22 | -0.16 | -0.21 | -0.19 | -0.17 | -0.18 | -0.13 | -0.06 | -0.21 | -0.02 | -0.12 | -0.18 | -0.17 | 0.21 | 0.28 | 0.30 | 0.17 | 0.33 | 0.17 | 0.14 | 0.16 | 0.32 | 0.30 | 0.27 | 0.14 | 0.31 | 0.39 | 0.35 | 0.39 | 0.29 | -0.35 | 0.21 | -0.11 | 0.32 |
| Soybean Oil | 0.69 | 0.54 | 0.87 | 1.00 | 0.66 | 0.11 | 0.47 | 0.46 | 0.40 | 0.51 | 0.74 | 0.18 | 0.20 | 0.30 | 0.60 | 0.63 | 0.61 | 0.25 | 0.47 | 0.59 | 0.55 | 0.52 | 0.49 | 0.37 | 0.25 | 0.45 | 0.44 | 0.37 | 0.41 | -0.26 | -0.25 | -0.18 | -0.23 | -0.21 | -0.21 | -0.23 | -0.20 | -0.09 | -0.25 | -0.04 | -0.12 | -0.20 | -0.18 | 0.32 | 0.38 | 0.41 | 0.31 | 0.43 | 0.26 | 0.23 | 0.27 | 0.41 | 0.41 | 0.36 | 0.23 | 0.35 | 0.44 | 0.46 | 0.51 | 0.36 | -0.44 | 0.19 | -0.18 | 0.37 |
| Soybean Meal | 0.67 | 0.51 | 0.89 | 0.66 | 1.00 | 0.09 | 0.39 | 0.40 | 0.29 | 0.39 | 0.66 | 0.13 | 0.11 | 0.24 | 0.32 | 0.36 | 0.34 | 0.08 | 0.22 | 0.33 | 0.36 | 0.33 | 0.39 | 0.22 | 0.15 | 0.31 | 0.31 | 0.26 | 0.28 | -0.18 | -0.18 | -0.12 | -0.16 | -0.14 | -0.12 | -0.13 | -0.09 | -0.09 | -0.16 | -0.05 | -0.12 | -0.16 | -0.15 | 0.09 | 0.18 | 0.21 | 0.11 | 0.23 | 0.09 | 0.03 | 0.05 | 0.23 | 0.21 | 0.20 | 0.14 | 0.27 | 0.30 | 0.31 | 0.32 | 0.23 | -0.28 | 0.17 | -0.07 | 0.27 |
| Lean Hoggs | 0.04 | 0.12 | 0.10 | 0.11 | 0.09 | 1.00 | 0.07 | 0.09 | 0.04 | 0.02 | 0.08 | 0.10 | 0.07 | 0.02 | 0.14 | 0.15 | 0.14 | 0.00 | 0.09 | 0.16 | 0.11 | 0.10 | 0.07 | 0.05 | 0.13 | 0.07 | 0.11 | 0.12 | 0.14 | -0.10 | -0.10 | -0.05 | -0.09 | 0.00 | 0.00 | 0.00 | -0.08 | 0.06 | 0.02 | 0.00 | -0.08 | 0.03 | -0.02 | 0.06 | 0.09 | 0.09 | 0.06 | 0.09 | 0.04 | 0.06 | 0.05 | 0.10 | 0.09 | 0.10 | 0.02 | -0.04 | 0.02 | -0.03 | -0.02 | -0.02 | 0.01 | -0.07 | 0.00 | -0.03 |
| Sugar | 0.44 | 0.38 | 0.45 | 0.47 | 0.39 | 0.07 | 1.00 | 0.49 | 0.39 | 0.44 | 0.41 | 0.13 | 0.11 | 0.27 | 0.40 | 0.39 | 0.36 | 0.11 | 0.32 | 0.38 | 0.43 | 0.41 | 0.37 | 0.28 | 0.18 | 0.35 | 0.35 | 0.26 | 0.30 | -0.15 | -0.13 | -0.08 | -0.13 | -0.14 | -0.16 | -0.18 | -0.10 | -0.05 | -0.15 | -0.02 | -0.06 | -0.15 | -0.15 | 0.17 | 0.30 | 0.30 | 0.15 | 0.30 | 0.14 | 0.10 | 0.13 | 0.25 | 0.27 | 0.25 | 0.14 | 0.28 | 0.33 | 0.35 | 0.38 | 0.27 | -0.41 | 0.15 | -0.19 | 0.29 |
| Coffee | 0.43 | 0.42 | 0.44 | 0.46 | 0.40 | 0.09 | 0.49 | 1.00 | 0.41 | 0.45 | 0.40 | 0.12 | 0.12 | 0.23 | 0.35 | 0.38 | 0.33 | 0.12 | 0.28 | 0.33 | 0.41 | 0.39 | 0.33 | 0.19 | 0.18 | 0.38 | 0.34 | 0.28 | 0.31 | -0.18 | -0.16 | -0.10 | -0.17 | -0.24 | -0.25 | -0.25 | -0.18 | -0.14 | -0.22 | -0.09 | -0.05 | -0.20 | -0.20 | 0.22 | 0.32 | 0.32 | 0.17 | 0.34 | 0.17 | 0.19 | 0.17 | 0.27 | 0.32 | 0.31 | 0.16 | 0.27 | 0.35 | 0.37 | 0.39 | 0.27 | -0.33 | 0.13 | -0.18 | 0.32 |
| Cocoa | 0.37 | 0.34 | 0.36 | 0.40 | 0.29 | 0.04 | 0.39 | 0.41 | 1.00 | 0.28 | 0.26 | 0.09 | 0.03 | 0.21 | 0.34 | 0.31 | 0.29 | 0.13 | 0.26 | 0.28 | 0.33 | 0.33 | 0.43 | 0.34 | 0.21 | 0.36 | 0.27 | 0.24 | 0.23 | -0.14 | -0.08 | -0.02 | -0.09 | -0.13 | -0.10 | -0.07 | -0.09 | -0.07 | -0.12 | -0.07 | 0.00 | -0.06 | -0.08 | 0.16 | 0.21 | 0.21 | 0.18 | 0.23 | 0.13 | 0.12 | 0.11 | 0.26 | 0.20 | 0.16 | 0.18 | 0.39 | 0.42 | 0.38 | 0.38 | 0.38 | -0.33 | 0.27 | -0.03 | 0.33 |
| Cotton | 0.46 | 0.43 | 0.48 | 0.51 | 0.39 | 0.02 | 0.44 | 0.45 | 0.28 | 1.00 | 0.45 | 0.13 | 0.09 | 0.25 | 0.36 | 0.41 | 0.39 | 0.05 | 0.30 | 0.37 | 0.42 | 0.43 | 0.30 | 0.22 | 0.13 | 0.30 | 0.38 | 0.30 | 0.35 | -0.16 | -0.16 | -0.12 | -0.15 | -0.15 | -0.18 | -0.22 | -0.14 | -0.04 | -0.17 | 0.03 | -0.11 | -0.19 | -0.18 | 0.26 | 0.32 | 0.32 | 0.09 | 0.32 | 0.23 | 0.21 | 0.21 | 0.28 | 0.30 | 0.30 | 0.09 | 0.27 | 0.32 | 0.34 | 0.37 | 0.24 | -0.33 | 0.16 | -0.14 | 0.29 |
| Canola | 0.58 | 0.47 | 0.75 | 0.74 | 0.66 | 0.08 | 0.41 | 0.40 | 0.26 | 0.45 | 1.00 | 0.13 | 0.13 | 0.22 | 0.36 | 0.41 | 0.38 | 0.15 | 0.28 | 0.40 | 0.33 | 0.32 | 0.37 | 0.26 | 0.21 | 0.37 | 0.31 | 0.26 | 0.27 | -0.20 | -0.21 | -0.14 | -0.20 | -0.16 | -0.17 | -0.21 | -0.15 | -0.11 | -0.20 | -0.01 | -0.13 | -0.16 | -0.21 | 0.12 | 0.18 | 0.21 | 0.16 | 0.26 | 0.10 | 0.06 | 0.08 | 0.30 | 0.22 | 0.21 | 0.13 | 0.20 | 0.27 | 0.30 | 0.33 | 0.19 | -0.20 | 0.10 | -0.12 | 0.24 |
| Orange Juice | 0.14 | 0.09 | 0.14 | 0.18 | 0.13 | 0.10 | 0.13 | 0.12 | 0.09 | 0.13 | 0.13 | 1.00 | 0.08 | 0.17 | 0.19 | 0.17 | 0.18 | 0.14 | 0.16 | 0.19 | 0.13 | 0.13 | 0.14 | 0.06 | 0.04 | 0.11 | 0.15 | 0.11 | 0.13 | -0.12 | -0.09 | -0.08 | -0.10 | -0.08 | -0.10 | -0.12 | -0.13 | -0.08 | -0.09 | -0.12 | -0.09 | -0.12 | -0.13 | 0.09 | 0.16 | 0.17 | 0.14 | 0.17 | 0.09 | 0.02 | 0.07 | 0.14 | 0.15 | 0.18 | 0.17 | 0.05 | 0.05 | 0.05 | 0.11 | 0.02 | -0.10 | -0.02 | -0.05 | 0.06 |
| Lumber | 0.08 | 0.10 | 0.13 | 0.20 | 0.11 | 0.07 | 0.11 | 0.12 | 0.03 | 0.09 | 0.13 | 0.08 | 1.00 | 0.06 | 0.12 | 0.12 | 0.17 | 0.16 | 0.14 | 0.11 | 0.23 | 0.21 | 0.10 | 0.01 | -0.01 | 0.10 | 0.22 | 0.13 | 0.12 | -0.14 | -0.19 | -0.16 | -0.17 | -0.10 | -0.09 | -0.08 | -0.15 | -0.10 | -0.15 | -0.04 | -0.15 | -0.09 | -0.04 | 0.14 | 0.20 | 0.20 | 0.16 | 0.20 | 0.14 | 0.10 | 0.13 | 0.13 | 0.19 | 0.22 | 0.17 | 0.13 | 0.16 | 0.22 | 0.25 | 0.17 | -0.17 | 0.06 | -0.15 | 0.20 |
| Natural Gas | 0.31 | 0.17 | 0.27 | 0.30 | 0.24 | 0.02 | 0.27 | 0.23 | 0.21 | 0.25 | 0.22 | 0.17 | 0.06 | 1.00 | 0.38 | 0.38 | 0.41 | 0.11 | 0.29 | 0.35 | 0.23 | 0.24 | 0.23 | 0.15 | 0.12 | 0.18 | 0.26 | 0.11 | 0.17 | -0.11 | -0.08 | -0.06 | -0.08 | -0.06 | -0.04 | -0.07 | -0.10 | -0.11 | -0.09 | -0.08 | -0.07 | -0.14 | -0.13 | 0.12 | 0.18 | 0.16 | 0.13 | 0.16 | 0.10 | 0.06 | 0.09 | 0.21 | 0.15 | 0.13 | 0.15 | 0.19 | 0.16 | 0.24 | 0.26 | 0.20 | -0.22 | 0.14 | -0.09 | 0.15 |
| Crude Oil | 0.49 | 0.37 | 0.49 | 0.60 | 0.32 | 0.14 | 0.40 | 0.35 | 0.34 | 0.36 | 0.36 | 0.19 | 0.12 | 0.38 | 1.00 | 0.90 | 0.83 | 0.14 | 0.54 | 0.83 | 0.52 | 0.50 | 0.40 | 0.35 | 0.17 | 0.34 | 0.42 | 0.35 | 0.43 | -0.36 | -0.26 | -0.17 | -0.28 | -0.28 | -0.25 | -0.24 | -0.24 | -0.07 | -0.33 | -0.11 | -0.15 | -0.23 | -0.21 | 0.27 | 0.35 | 0.36 | 0.26 | 0.40 | 0.19 | 0.15 | 0.21 | 0.40 | 0.35 | 0.29 | 0.20 | 0.31 | 0.43 | 0.34 | 0.42 | 0.30 | -0.40 | 0.15 | -0.18 | 0.27 |
| Brent Crude | 0.50 | 0.39 | 0.53 | 0.63 | 0.36 | 0.15 | 0.39 | 0.38 | 0.31 | 0.41 | 0.41 | 0.17 | 0.12 | 0.38 | 0.90 | 1.00 | 0.91 | 0.15 | 0.57 | 0.90 | 0.54 | 0.53 | 0.43 | 0.35 | 0.17 | 0.35 | 0.45 | 0.38 | 0.45 | -0.27 | -0.23 | -0.15 | -0.21 | -0.26 | -0.24 | -0.24 | -0.20 | -0.03 | -0.28 | -0.08 | -0.12 | -0.21 | -0.22 | 0.30 | 0.38 | 0.39 | 0.26 | 0.43 | 0.21 | 0.19 | 0.24 | 0.45 | 0.39 | 0.31 | 0.21 | 0.31 | 0.41 | 0.36 | 0.43 | 0.35 | -0.41 | 0.16 | -0.17 | 0.30 |
| Heating Oil | 0.48 | 0.35 | 0.51 | 0.61 | 0.34 | 0.14 | 0.36 | 0.33 | 0.29 | 0.39 | 0.38 | 0.18 | 0.17 | 0.41 | 0.83 | 0.91 | 1.00 | 0.19 | 0.62 | 0.87 | 0.52 | 0.48 | 0.37 | 0.31 | 0.20 | 0.33 | 0.44 | 0.36 | 0.39 | -0.27 | -0.23 | -0.18 | -0.22 | -0.23 | -0.22 | -0.21 | -0.23 | -0.04 | -0.26 | -0.08 | -0.13 | -0.20 | -0.21 | 0.31 | 0.35 | 0.36 | 0.23 | 0.38 | 0.23 | 0.19 | 0.25 | 0.43 | 0.35 | 0.31 | 0.19 | 0.31 | 0.40 | 0.33 | 0.41 | 0.34 | -0.39 | 0.17 | -0.14 | 0.27 |
| Kerosene | 0.22 | 0.08 | 0.16 | 0.25 | 0.08 | 0.00 | 0.11 | 0.12 | 0.13 | 0.05 | 0.15 | 0.14 | 0.16 | 0.11 | 0.14 | 0.15 | 0.19 | 1.00 | 0.37 | 0.15 | 0.15 | 0.15 | 0.20 | 0.07 | 0.19 | 0.26 | 0.17 | 0.01 | 0.03 | -0.01 | 0.01 | 0.01 | 0.00 | -0.15 | -0.15 | -0.12 | 0.01 | -0.25 | -0.17 | -0.16 | 0.05 | -0.13 | -0.11 | 0.05 | 0.20 | 0.20 | 0.38 | 0.23 | -0.01 | -0.01 | 0.04 | 0.16 | 0.19 | 0.18 | 0.51 | 0.23 | 0.23 | 0.29 | 0.31 | 0.29 | -0.21 | 0.13 | -0.16 | 0.24 |
| Gas Oil | 0.37 | 0.23 | 0.36 | 0.47 | 0.22 | 0.09 | 0.32 | 0.28 | 0.26 | 0.30 | 0.28 | 0.16 | 0.14 | 0.29 | 0.54 | 0.57 | 0.62 | 0.37 | 1.00 | 0.53 | 0.49 | 0.49 | 0.35 | 0.26 | 0.18 | 0.31 | 0.43 | 0.36 | 0.32 | -0.19 | -0.13 | -0.08 | -0.14 | -0.27 | -0.25 | -0.23 | -0.17 | -0.09 | -0.29 | -0.05 | -0.08 | -0.21 | -0.21 | 0.12 | 0.30 | 0.31 | 0.22 | 0.35 | 0.08 | 0.07 | 0.08 | 0.22 | 0.31 | 0.25 | 0.16 | 0.34 | 0.42 | 0.32 | 0.39 | 0.36 | -0.39 | 0.24 | -0.14 | 0.26 |
| Gasoline | 0.46 | 0.35 | 0.49 | 0.59 | 0.33 | 0.16 | 0.38 | 0.33 | 0.28 | 0.37 | 0.40 | 0.19 | 0.11 | 0.35 | 0.83 | 0.90 | 0.87 | 0.15 | 0.53 | 1.00 | 0.53 | 0.52 | 0.33 | 0.28 | 0.17 | 0.31 | 0.41 | 0.37 | 0.45 | -0.28 | -0.26 | -0.20 | -0.23 | -0.25 | -0.25 | -0.27 | -0.24 | -0.09 | -0.26 | -0.10 | -0.15 | -0.22 | -0.24 | 0.33 | 0.38 | 0.39 | 0.27 | 0.42 | 0.25 | 0.21 | 0.27 | 0.46 | 0.39 | 0.33 | 0.23 | 0.22 | 0.33 | 0.29 | 0.39 | 0.28 | -0.35 | 0.07 | -0.18 | 0.20 |
| Copper NY | 0.47 | 0.38 | 0.45 | 0.55 | 0.36 | 0.11 | 0.43 | 0.41 | 0.33 | 0.42 | 0.33 | 0.13 | 0.23 | 0.23 | 0.52 | 0.54 | 0.52 | 0.15 | 0.49 | 0.53 | 1.00 | 0.94 | 0.45 | 0.34 | 0.26 | 0.40 | 0.65 | 0.64 | 0.61 | -0.27 | -0.25 | -0.19 | -0.24 | -0.30 | -0.31 | -0.33 | -0.21 | -0.14 | -0.31 | -0.06 | -0.07 | -0.24 | -0.28 | 0.26 | 0.50 | 0.52 | 0.30 | 0.54 | 0.20 | 0.14 | 0.21 | 0.29 | 0.52 | 0.46 | 0.31 | 0.37 | 0.49 | 0.50 | 0.60 | 0.39 | -0.48 | 0.21 | -0.29 | 0.33 |
| Copper LDN | 0.45 | 0.38 | 0.43 | 0.52 | 0.33 | 0.10 | 0.41 | 0.39 | 0.33 | 0.43 | 0.32 | 0.13 | 0.21 | 0.24 | 0.50 | 0.53 | 0.48 | 0.15 | 0.49 | 0.52 | 0.94 | 1.00 | 0.42 | 0.29 | 0.27 | 0.38 | 0.68 | 0.70 | 0.65 | -0.25 | -0.25 | -0.20 | -0.23 | -0.33 | -0.35 | -0.38 | -0.23 | -0.12 | -0.34 | -0.05 | -0.08 | -0.29 | -0.32 | 0.29 | 0.53 | 0.57 | 0.30 | 0.58 | 0.22 | 0.18 | 0.24 | 0.34 | 0.57 | 0.48 | 0.31 | 0.38 | 0.50 | 0.50 | 0.61 | 0.38 | -0.47 | 0.21 | -0.29 | 0.32 |
| Silver | 0.42 | 0.36 | 0.46 | 0.49 | 0.39 | 0.07 | 0.37 | 0.33 | 0.43 | 0.30 | 0.37 | 0.14 | 0.10 | 0.23 | 0.40 | 0.43 | 0.37 | 0.20 | 0.35 | 0.33 | 0.45 | 0.42 | 1.00 | 0.78 | 0.29 | 0.59 | 0.34 | 0.32 | 0.30 | -0.02 | -0.01 | 0.03 | 0.01 | -0.03 | -0.03 | -0.03 | 0.01 | -0.04 | -0.06 | -0.03 | 0.05 | -0.08 | -0.10 | 0.10 | 0.22 | 0.24 | 0.23 | 0.28 | 0.04 | 0.04 | 0.06 | 0.26 | 0.26 | 0.19 | 0.25 | 0.55 | 0.56 | 0.46 | 0.45 | 0.45 | -0.43 | 0.45 | 0.06 | 0.46 |
| Gold | 0.30 | 0.27 | 0.31 | 0.37 | 0.22 | 0.05 | 0.28 | 0.19 | 0.34 | 0.22 | 0.26 | 0.06 | 0.01 | 0.15 | 0.35 | 0.35 | 0.31 | 0.07 | 0.26 | 0.28 | 0.34 | 0.29 | 0.78 | 1.00 | 0.28 | 0.47 | 0.26 | 0.23 | 0.23 | 0.08 | 0.10 | 0.13 | 0.10 | 0.06 | 0.07 | 0.07 | 0.07 | 0.01 | 0.05 | -0.04 | 0.11 | 0.04 | -0.01 | -0.07 | 0.01 | 0.00 | 0.05 | 0.03 | -0.10 | -0.09 | -0.08 | 0.12 | 0.00 | -0.02 | 0.07 | 0.48 | 0.47 | 0.28 | 0.21 | 0.35 | -0.31 | 0.45 | 0.15 | 0.40 |
| Platinum | 0.19 | 0.15 | 0.21 | 0.25 | 0.15 | 0.13 | 0.18 | 0.18 | 0.21 | 0.13 | 0.21 | 0.04 | -0.01 | 0.12 | 0.17 | 0.17 | 0.20 | 0.19 | 0.18 | 0.17 | 0.26 | 0.27 | 0.29 | 0.28 | 1.00 | 0.37 | 0.28 | 0.27 | 0.22 | -0.10 | -0.12 | -0.11 | -0.10 | -0.12 | -0.14 | -0.15 | -0.07 | -0.07 | -0.13 | -0.06 | -0.07 | -0.15 | -0.17 | 0.05 | 0.13 | 0.13 | 0.17 | 0.15 | 0.00 | 0.01 | 0.03 | 0.16 | 0.13 | 0.12 | 0.20 | 0.23 | 0.23 | 0.24 | 0.27 | 0.22 | -0.19 | 0.15 | -0.06 | 0.13 |
| Palladium | 0.38 | 0.28 | 0.41 | 0.45 | 0.31 | 0.07 | 0.35 | 0.38 | 0.36 | 0.30 | 0.37 | 0.11 | 0.10 | 0.18 | 0.34 | 0.35 | 0.33 | 0.26 | 0.31 | 0.31 | 0.40 | 0.38 | 0.59 | 0.47 | 0.37 | 1.00 | 0.38 | 0.35 | 0.35 | -0.12 | -0.10 | -0.06 | -0.09 | -0.16 | -0.15 | -0.15 | -0.04 | -0.19 | -0.18 | -0.10 | -0.02 | -0.17 | -0.15 | 0.18 | 0.33 | 0.31 | 0.25 | 0.34 | 0.11 | 0.14 | 0.13 | 0.32 | 0.31 | 0.29 | 0.28 | 0.36 | 0.36 | 0.36 | 0.40 | 0.28 | -0.34 | 0.28 | -0.04 | 0.32 |
| Aluminium | 0.39 | 0.30 | 0.38 | 0.44 | 0.31 | 0.11 | 0.35 | 0.34 | 0.27 | 0.38 | 0.31 | 0.15 | 0.22 | 0.26 | 0.42 | 0.45 | 0.44 | 0.17 | 0.43 | 0.41 | 0.65 | 0.68 | 0.34 | 0.26 | 0.28 | 0.38 | 1.00 | 0.63 | 0.55 | -0.19 | -0.18 | -0.13 | -0.18 | -0.23 | -0.22 | -0.24 | -0.18 | -0.13 | -0.24 | -0.12 | -0.03 | -0.25 | -0.23 | 0.18 | 0.37 | 0.37 | 0.20 | 0.38 | 0.14 | 0.09 | 0.15 | 0.27 | 0.37 | 0.31 | 0.23 | 0.39 | 0.43 | 0.40 | 0.47 | 0.34 | -0.41 | 0.30 | -0.20 | 0.32 |
| Zinc | 0.31 | 0.27 | 0.34 | 0.37 | 0.26 | 0.12 | 0.26 | 0.28 | 0.24 | 0.30 | 0.26 | 0.11 | 0.13 | 0.11 | 0.35 | 0.38 | 0.36 | 0.01 | 0.36 | 0.37 | 0.64 | 0.70 | 0.32 | 0.23 | 0.27 | 0.35 | 0.63 | 1.00 | 0.59 | -0.12 | -0.15 | -0.15 | -0.12 | -0.22 | -0.27 | -0.31 | -0.20 | -0.09 | -0.23 | -0.03 | -0.08 | -0.22 | -0.27 | 0.17 | 0.34 | 0.39 | 0.19 | 0.43 | 0.13 | 0.11 | 0.12 | 0.22 | 0.41 | 0.36 | 0.19 | 0.30 | 0.37 | 0.35 | 0.42 | 0.25 | -0.37 | 0.17 | -0.17 | 0.19 |
| Nickel | 0.36 | 0.28 | 0.36 | 0.41 | 0.28 | 0.14 | 0.30 | 0.31 | 0.23 | 0.35 | 0.27 | 0.13 | 0.12 | 0.17 | 0.43 | 0.45 | 0.39 | 0.03 | 0.32 | 0.45 | 0.61 | 0.65 | 0.30 | 0.23 | 0.22 | 0.35 | 0.55 | 0.59 | 1.00 | -0.22 | -0.20 | -0.14 | -0.20 | -0.23 | -0.19 | -0.20 | -0.24 | -0.07 | -0.23 | -0.02 | -0.08 | -0.15 | -0.17 | 0.20 | 0.35 | 0.36 | 0.16 | 0.39 | 0.15 | 0.12 | 0.16 | 0.24 | 0.37 | 0.28 | 0.15 | 0.21 | 0.31 | 0.30 | 0.38 | 0.18 | -0.38 | 0.09 | -0.17 | 0.19 |
| Treasury Bonds | -0.20 | -0.22 | -0.23 | -0.26 | -0.18 | -0.10 | -0.15 | -0.18 | -0.14 | -0.16 | -0.20 | -0.12 | -0.14 | -0.11 | -0.36 | -0.27 | -0.27 | -0.01 | -0.19 | -0.28 | -0.27 | -0.25 | -0.02 | 0.08 | -0.10 | -0.12 | -0.19 | -0.12 | -0.22 | 1.00 | 0.83 | 0.69 | 0.92 | 0.54 | 0.47 | 0.40 | 0.73 | 0.14 | 0.48 | 0.07 | 0.61 | 0.39 | 0.30 | -0.38 | -0.31 | -0.31 | -0.12 | -0.31 | -0.36 | -0.35 | -0.32 | -0.36 | -0.33 | -0.31 | -0.07 | 0.04 | -0.17 | -0.20 | -0.24 | -0.15 | 0.23 | 0.22 | 0.44 | -0.09 |
| 5 yr T-Notes US | -0.18 | -0.19 | -0.22 | -0.25 | -0.18 | -0.10 | -0.13 | -0.16 | -0.08 | -0.16 | -0.21 | -0.09 | -0.19 | -0.08 | -0.26 | -0.23 | -0.23 | 0.01 | -0.13 | -0.26 | -0.25 | -0.25 | -0.01 | 0.10 | -0.12 | -0.10 | -0.18 | -0.15 | -0.20 | 0.83 | 1.00 | 0.92 | 0.94 | 0.54 | 0.55 | 0.51 | 0.72 | 0.12 | 0.49 | 0.06 | 0.79 | 0.42 | 0.37 | -0.46 | -0.37 | -0.36 | -0.16 | -0.36 | -0.44 | -0.41 | -0.40 | -0.36 | -0.37 | -0.35 | -0.04 | 0.02 | -0.16 | -0.19 | -0.25 | -0.10 | 0.20 | 0.24 | 0.50 | -0.12 |
| 2 yr T-Note US | -0.12 | -0.14 | -0.16 | -0.18 | -0.12 | -0.05 | -0.08 | -0.10 | -0.02 | -0.12 | -0.14 | -0.08 | -0.16 | -0.06 | -0.17 | -0.15 | -0.18 | 0.01 | -0.08 | -0.20 | -0.19 | -0.20 | 0.03 | 0.13 | -0.11 | -0.06 | -0.13 | -0.15 | -0.14 | 0.69 | 0.92 | 1.00 | 0.83 | 0.49 | 0.54 | 0.53 | 0.64 | 0.09 | 0.45 | 0.06 | 0.83 | 0.43 | 0.40 | -0.46 | -0.35 | -0.35 | -0.14 | -0.35 | -0.44 | -0.39 | -0.40 | -0.31 | -0.36 | -0.33 | -0.02 | 0.04 | -0.07 | -0.14 | -0.21 | -0.05 | 0.16 | 0.26 | 0.49 | -0.06 |
| 10yr T-Notes | -0.15 | -0.19 | -0.21 | -0.23 | -0.16 | -0.09 | -0.13 | -0.17 | -0.09 | -0.15 | -0.20 | -0.10 | -0.17 | -0.08 | -0.28 | -0.21 | -0.22 | 0.00 | -0.14 | -0.23 | -0.24 | -0.23 | 0.01 | 0.10 | -0.10 | -0.09 | -0.18 | -0.12 | -0.20 | 0.92 | 0.94 | 0.83 | 1.00 | 0.55 | 0.52 | 0.46 | 0.76 | 0.14 | 0.49 | 0.07 | 0.73 | 0.39 | 0.33 | -0.40 | -0.32 | -0.31 | -0.15 | -0.31 | -0.39 | -0.36 | -0.34 | -0.34 | -0.33 | -0.31 | -0.05 | 0.04 | -0.17 | -0.18 | -0.22 | -0.11 | 0.20 | 0.25 | 0.50 | -0.11 |
| Euro-Bund | -0.21 | -0.15 | -0.19 | -0.21 | -0.14 | 0.00 | -0.14 | -0.24 | -0.13 | -0.15 | -0.16 | -0.08 | -0.10 | -0.06 | -0.28 | -0.26 | -0.23 | -0.15 | -0.27 | -0.25 | -0.30 | -0.33 | -0.03 | 0.06 | -0.12 | -0.16 | -0.23 | -0.22 | -0.23 | 0.54 | 0.54 | 0.49 | 0.55 | 1.00 | 0.92 | 0.79 | 0.59 | 0.19 | 0.85 | 0.13 | 0.39 | 0.60 | 0.65 | -0.29 | -0.44 | -0.47 | -0.17 | -0.47 | -0.25 | -0.28 | -0.25 | -0.29 | -0.48 | -0.44 | -0.13 | -0.08 | -0.18 | -0.24 | -0.26 | -0.24 | 0.27 | 0.14 | 0.50 | -0.12 |
| Euro-Bobl | -0.19 | -0.14 | -0.17 | -0.21 | -0.12 | 0.00 | -0.16 | -0.25 | -0.10 | -0.18 | -0.17 | -0.10 | -0.09 | -0.04 | -0.25 | -0.24 | -0.22 | -0.15 | -0.25 | -0.25 | -0.31 | -0.35 | -0.03 | 0.07 | -0.14 | -0.15 | -0.22 | -0.27 | -0.19 | 0.47 | 0.55 | 0.54 | 0.52 | 0.92 | 1.00 | 0.94 | 0.57 | 0.18 | 0.78 | 0.15 | 0.45 | 0.68 | 0.78 | -0.34 | -0.49 | -0.52 | -0.21 | -0.52 | -0.29 | -0.32 | -0.29 | -0.31 | -0.53 | -0.50 | -0.17 | -0.10 | -0.19 | -0.26 | -0.29 | -0.23 | 0.25 | 0.16 | 0.51 | -0.14 |
| Euro-Schatz | -0.20 | -0.14 | -0.18 | -0.23 | -0.13 | 0.00 | -0.18 | -0.25 | -0.07 | -0.22 | -0.21 | -0.12 | -0.08 | -0.07 | -0.24 | -0.24 | -0.21 | -0.12 | -0.23 | -0.27 | -0.33 | -0.38 | -0.03 | 0.07 | -0.15 | -0.15 | -0.24 | -0.31 | -0.20 | 0.40 | 0.51 | 0.53 | 0.46 | 0.79 | 0.94 | 1.00 | 0.50 | 0.17 | 0.67 | 0.14 | 0.45 | 0.71 | 0.83 | -0.34 | -0.52 | -0.55 | -0.22 | -0.55 | -0.27 | -0.29 | -0.28 | -0.31 | -0.56 | -0.51 | -0.20 | -0.12 | -0.20 | -0.26 | -0.33 | -0.20 | 0.25 | 0.14 | 0.51 | -0.13 |
| Canadian Bond | -0.17 | -0.15 | -0.13 | -0.20 | -0.09 | -0.08 | -0.10 | -0.18 | -0.09 | -0.14 | -0.15 | -0.13 | -0.15 | -0.10 | -0.24 | -0.20 | -0.23 | 0.01 | -0.17 | -0.24 | -0.21 | -0.23 | 0.01 | 0.07 | -0.07 | -0.04 | -0.18 | -0.20 | -0.24 | 0.73 | 0.72 | 0.64 | 0.76 | 0.59 | 0.57 | 0.50 | 1.00 | 0.18 | 0.50 | 0.11 | 0.58 | 0.38 | 0.37 | -0.37 | -0.29 | -0.32 | -0.09 | -0.32 | -0.37 | -0.39 | -0.32 | -0.35 | -0.35 | -0.32 | -0.04 | 0.04 | -0.15 | -0.19 | -0.15 | -0.14 | 0.19 | 0.25 | 0.45 | -0.04 |
| JGB Japan | -0.08 | -0.08 | -0.06 | -0.09 | -0.09 | 0.06 | -0.05 | -0.14 | -0.07 | -0.04 | -0.11 | -0.08 | -0.10 | -0.11 | -0.07 | -0.03 | -0.04 | -0.25 | -0.09 | -0.09 | -0.14 | -0.12 | -0.04 | 0.01 | -0.07 | -0.19 | -0.13 | -0.09 | -0.07 | 0.14 | 0.12 | 0.09 | 0.14 | 0.19 | 0.18 | 0.17 | 0.18 | 1.00 | 0.17 | 0.61 | 0.08 | 0.21 | 0.18 | -0.08 | -0.18 | -0.17 | -0.34 | -0.19 | -0.06 | -0.05 | -0.07 | -0.08 | -0.17 | -0.20 | -0.46 | -0.04 | -0.06 | -0.20 | -0.20 | -0.11 | 0.09 | 0.05 | 0.22 | -0.06 |
| Gilts UK | -0.19 | -0.13 | -0.21 | -0.25 | -0.16 | 0.02 | -0.15 | -0.22 | -0.12 | -0.17 | -0.20 | -0.09 | -0.15 | -0.09 | -0.33 | -0.28 | -0.26 | -0.17 | -0.29 | -0.26 | -0.31 | -0.34 | -0.06 | 0.05 | -0.13 | -0.18 | -0.24 | -0.23 | -0.23 | 0.48 | 0.49 | 0.45 | 0.49 | 0.85 | 0.78 | 0.67 | 0.50 | 0.17 | 1.00 | 0.12 | 0.33 | 0.52 | 0.51 | -0.26 | -0.39 | -0.41 | -0.21 | -0.41 | -0.22 | -0.24 | -0.23 | -0.28 | -0.42 | -0.37 | -0.14 | -0.08 | -0.17 | -0.22 | -0.26 | -0.26 | 0.27 | 0.11 | 0.46 | -0.13 |
| Euroyen | -0.02 | -0.05 | -0.02 | -0.04 | -0.05 | 0.00 | -0.02 | -0.09 | -0.07 | 0.03 | -0.01 | -0.12 | -0.04 | -0.08 | -0.11 | -0.08 | -0.08 | -0.16 | -0.05 | -0.10 | -0.06 | -0.05 | -0.03 | -0.04 | -0.06 | -0.10 | -0.12 | -0.03 | -0.02 | 0.07 | 0.06 | 0.06 | 0.07 | 0.13 | 0.15 | 0.14 | 0.11 | 0.61 | 0.12 | 1.00 | 0.09 | 0.24 | 0.18 | -0.07 | -0.12 | -0.10 | -0.22 | -0.10 | -0.03 | -0.02 | -0.07 | -0.10 | -0.11 | -0.14 | -0.34 | -0.07 | -0.02 | -0.10 | -0.13 | -0.07 | 0.07 | 0.02 | 0.09 | -0.04 |
| Eurodollar | -0.05 | -0.09 | -0.12 | -0.12 | -0.12 | -0.08 | -0.06 | -0.05 | 0.00 | -0.11 | -0.13 | -0.09 | -0.15 | -0.07 | -0.15 | -0.12 | -0.13 | 0.05 | -0.08 | -0.15 | -0.07 | -0.08 | 0.05 | 0.11 | -0.07 | -0.02 | -0.03 | -0.08 | -0.08 | 0.61 | 0.79 | 0.83 | 0.73 | 0.39 | 0.45 | 0.45 | 0.58 | 0.08 | 0.33 | 0.09 | 1.00 | 0.45 | 0.46 | -0.34 | -0.20 | -0.19 | -0.07 | -0.21 | -0.35 | -0.30 | -0.30 | -0.27 | -0.22 | -0.19 | 0.03 | 0.10 | -0.03 | -0.05 | -0.11 | 0.03 | 0.05 | 0.28 | 0.40 | 0.01 |
| Euroswiss | -0.19 | -0.14 | -0.18 | -0.20 | -0.16 | 0.03 | -0.15 | -0.20 | -0.06 | -0.19 | -0.16 | -0.12 | -0.09 | -0.14 | -0.23 | -0.21 | -0.20 | -0.13 | -0.21 | -0.22 | -0.24 | -0.29 | -0.08 | 0.04 | -0.15 | -0.17 | -0.25 | -0.22 | -0.15 | 0.39 | 0.42 | 0.43 | 0.39 | 0.60 | 0.68 | 0.71 | 0.38 | 0.21 | 0.52 | 0.24 | 0.45 | 1.00 | 0.75 | -0.35 | -0.44 | -0.45 | -0.19 | -0.44 | -0.28 | -0.28 | -0.31 | -0.36 | -0.47 | -0.41 | -0.21 | -0.13 | -0.20 | -0.28 | -0.32 | -0.20 | 0.27 | 0.04 | 0.41 | -0.13 |
| Euribor | -0.19 | -0.14 | -0.17 | -0.18 | -0.15 | -0.02 | -0.15 | -0.20 | -0.08 | -0.18 | -0.21 | -0.13 | -0.04 | -0.13 | -0.21 | -0.22 | -0.21 | -0.11 | -0.21 | -0.24 | -0.28 | -0.32 | -0.10 | -0.01 | -0.17 | -0.15 | -0.23 | -0.27 | -0.17 | 0.30 | 0.37 | 0.40 | 0.33 | 0.65 | 0.78 | 0.83 | 0.37 | 0.18 | 0.51 | 0.18 | 0.46 | 0.75 | 1.00 | -0.22 | -0.38 | -0.40 | -0.19 | -0.41 | -0.18 | -0.18 | -0.18 | -0.27 | -0.42 | -0.37 | -0.22 | -0.16 | -0.20 | -0.22 | -0.29 | -0.18 | 0.20 | 0.05 | 0.38 | -0.13 |
| SP500 E-Mini | 0.20 | 0.21 | 0.21 | 0.32 | 0.09 | 0.06 | 0.17 | 0.22 | 0.16 | 0.26 | 0.12 | 0.09 | 0.14 | 0.12 | 0.27 | 0.30 | 0.31 | 0.05 | 0.12 | 0.33 | 0.26 | 0.29 | 0.10 | -0.07 | 0.05 | 0.18 | 0.18 | 0.17 | 0.20 | -0.38 | -0.46 | -0.46 | -0.40 | -0.29 | -0.34 | -0.34 | -0.37 | -0.08 | -0.26 | -0.07 | -0.34 | -0.35 | -0.22 | 1.00 | 0.64 | 0.59 | 0.32 | 0.57 | 0.92 | 0.91 | 0.97 | 0.74 | 0.59 | 0.57 | 0.16 | 0.10 | 0.15 | 0.33 | 0.38 | 0.16 | -0.28 | -0.15 | -0.40 | 0.23 |
| DAX 30 | 0.33 | 0.26 | 0.28 | 0.38 | 0.18 | 0.09 | 0.30 | 0.32 | 0.21 | 0.32 | 0.18 | 0.16 | 0.20 | 0.18 | 0.35 | 0.38 | 0.35 | 0.20 | 0.30 | 0.38 | 0.50 | 0.53 | 0.22 | 0.01 | 0.13 | 0.33 | 0.37 | 0.34 | 0.35 | -0.31 | -0.37 | -0.35 | -0.32 | -0.44 | -0.49 | -0.52 | -0.29 | -0.18 | -0.39 | -0.12 | -0.20 | -0.44 | -0.38 | 0.64 | 1.00 | 0.96 | 0.44 | 0.90 | 0.54 | 0.51 | 0.60 | 0.48 | 0.92 | 0.84 | 0.42 | 0.29 | 0.40 | 0.50 | 0.57 | 0.30 | -0.44 | 0.01 | -0.49 | 0.38 |
| Eurostoxx | 0.35 | 0.27 | 0.30 | 0.41 | 0.21 | 0.09 | 0.30 | 0.32 | 0.21 | 0.32 | 0.21 | 0.17 | 0.20 | 0.16 | 0.36 | 0.39 | 0.36 | 0.20 | 0.31 | 0.39 | 0.52 | 0.57 | 0.24 | 0.00 | 0.13 | 0.31 | 0.37 | 0.39 | 0.36 | -0.31 | -0.36 | -0.35 | -0.31 | -0.47 | -0.52 | -0.55 | -0.32 | -0.17 | -0.41 | -0.10 | -0.19 | -0.45 | -0.40 | 0.59 | 0.96 | 1.00 | 0.43 | 0.94 | 0.47 | 0.47 | 0.53 | 0.48 | 0.97 | 0.86 | 0.45 | 0.31 | 0.41 | 0.55 | 0.60 | 0.35 | -0.49 | 0.00 | -0.50 | 0.37 |
| Hang Seng | 0.17 | 0.10 | 0.17 | 0.31 | 0.11 | 0.06 | 0.15 | 0.17 | 0.18 | 0.09 | 0.16 | 0.14 | 0.16 | 0.13 | 0.26 | 0.26 | 0.23 | 0.38 | 0.22 | 0.27 | 0.30 | 0.30 | 0.23 | 0.05 | 0.17 | 0.25 | 0.20 | 0.19 | 0.16 | -0.12 | -0.16 | -0.14 | -0.15 | -0.17 | -0.21 | -0.22 | -0.09 | -0.34 | -0.21 | -0.22 | -0.07 | -0.19 | -0.19 | 0.32 | 0.44 | 0.43 | 1.00 | 0.46 | 0.24 | 0.22 | 0.31 | 0.31 | 0.45 | 0.42 | 0.67 | 0.20 | 0.27 | 0.39 | 0.47 | 0.25 | -0.28 | 0.01 | -0.30 | 0.32 |
| FTSE 100 UK | 0.36 | 0.29 | 0.33 | 0.43 | 0.23 | 0.09 | 0.30 | 0.34 | 0.23 | 0.32 | 0.26 | 0.17 | 0.20 | 0.16 | 0.40 | 0.43 | 0.38 | 0.23 | 0.35 | 0.42 | 0.54 | 0.58 | 0.28 | 0.03 | 0.15 | 0.34 | 0.38 | 0.43 | 0.39 | -0.31 | -0.36 | -0.35 | -0.31 | -0.47 | -0.52 | -0.55 | -0.32 | -0.19 | -0.41 | -0.10 | -0.21 | -0.44 | -0.41 | 0.57 | 0.90 | 0.94 | 0.46 | 1.00 | 0.45 | 0.44 | 0.51 | 0.52 | 0.94 | 0.85 | 0.47 | 0.32 | 0.44 | 0.55 | 0.63 | 0.31 | -0.49 | 0.01 | -0.49 | 0.39 |
| Nasdaq 100 Mini | 0.17 | 0.18 | 0.17 | 0.26 | 0.09 | 0.04 | 0.14 | 0.17 | 0.13 | 0.23 | 0.10 | 0.09 | 0.14 | 0.10 | 0.19 | 0.21 | 0.23 | -0.01 | 0.08 | 0.25 | 0.20 | 0.22 | 0.04 | -0.10 | 0.00 | 0.11 | 0.14 | 0.13 | 0.15 | -0.36 | -0.44 | -0.44 | -0.39 | -0.25 | -0.29 | -0.27 | -0.37 | -0.06 | -0.22 | -0.03 | -0.35 | -0.28 | -0.18 | 0.92 | 0.54 | 0.47 | 0.24 | 0.45 | 1.00 | 0.87 | 0.91 | 0.64 | 0.47 | 0.49 | 0.04 | 0.06 | 0.09 | 0.26 | 0.30 | 0.12 | -0.23 | -0.17 | -0.37 | 0.15 |
| Russel 2000 E-Mini | 0.13 | 0.17 | 0.14 | 0.23 | 0.03 | 0.06 | 0.10 | 0.19 | 0.12 | 0.21 | 0.06 | 0.02 | 0.10 | 0.06 | 0.15 | 0.19 | 0.19 | -0.01 | 0.07 | 0.21 | 0.14 | 0.18 | 0.04 | -0.09 | 0.01 | 0.14 | 0.09 | 0.11 | 0.12 | -0.35 | -0.41 | -0.39 | -0.36 | -0.28 | -0.32 | -0.29 | -0.39 | -0.05 | -0.24 | -0.02 | -0.30 | -0.28 | -0.18 | 0.91 | 0.51 | 0.47 | 0.22 | 0.44 | 0.87 | 1.00 | 0.87 | 0.70 | 0.47 | 0.48 | 0.03 | 0.03 | 0.07 | 0.26 | 0.24 | 0.12 | -0.21 | -0.16 | -0.35 | 0.19 |
| Dow Jones | 0.15 | 0.15 | 0.16 | 0.27 | 0.05 | 0.05 | 0.13 | 0.17 | 0.11 | 0.21 | 0.08 | 0.07 | 0.13 | 0.09 | 0.21 | 0.24 | 0.25 | 0.04 | 0.08 | 0.27 | 0.21 | 0.24 | 0.06 | -0.08 | 0.03 | 0.13 | 0.15 | 0.12 | 0.16 | -0.32 | -0.40 | -0.40 | -0.34 | -0.25 | -0.29 | -0.28 | -0.32 | -0.07 | -0.23 | -0.07 | -0.30 | -0.31 | -0.18 | 0.97 | 0.60 | 0.53 | 0.31 | 0.51 | 0.91 | 0.87 | 1.00 | 0.68 | 0.52 | 0.53 | 0.15 | 0.06 | 0.09 | 0.27 | 0.32 | 0.11 | -0.22 | -0.17 | -0.37 | 0.18 |
| TSE Toronto | 0.31 | 0.27 | 0.32 | 0.41 | 0.23 | 0.10 | 0.25 | 0.27 | 0.26 | 0.28 | 0.30 | 0.14 | 0.13 | 0.21 | 0.40 | 0.45 | 0.43 | 0.16 | 0.22 | 0.46 | 0.29 | 0.34 | 0.26 | 0.12 | 0.16 | 0.32 | 0.27 | 0.22 | 0.24 | -0.36 | -0.36 | -0.31 | -0.34 | -0.29 | -0.31 | -0.31 | -0.35 | -0.08 | -0.28 | -0.10 | -0.27 | -0.36 | -0.27 | 0.74 | 0.48 | 0.48 | 0.31 | 0.52 | 0.64 | 0.70 | 0.68 | 1.00 | 0.50 | 0.47 | 0.30 | 0.19 | 0.28 | 0.38 | 0.41 | 0.25 | -0.31 | -0.01 | -0.32 | 0.29 |
| CAC 40 France | 0.33 | 0.27 | 0.30 | 0.41 | 0.21 | 0.09 | 0.27 | 0.32 | 0.20 | 0.30 | 0.22 | 0.15 | 0.19 | 0.15 | 0.35 | 0.39 | 0.35 | 0.19 | 0.31 | 0.39 | 0.52 | 0.57 | 0.26 | 0.00 | 0.13 | 0.31 | 0.37 | 0.41 | 0.37 | -0.33 | -0.37 | -0.36 | -0.33 | -0.48 | -0.53 | -0.56 | -0.35 | -0.17 | -0.42 | -0.11 | -0.22 | -0.47 | -0.42 | 0.59 | 0.92 | 0.97 | 0.45 | 0.94 | 0.47 | 0.47 | 0.52 | 0.50 | 1.00 | 0.87 | 0.44 | 0.29 | 0.41 | 0.55 | 0.60 | 0.36 | -0.49 | -0.01 | -0.50 | 0.35 |
| OMX 30 Stockholm | 0.29 | 0.23 | 0.27 | 0.36 | 0.20 | 0.10 | 0.25 | 0.31 | 0.16 | 0.30 | 0.21 | 0.18 | 0.22 | 0.13 | 0.29 | 0.31 | 0.31 | 0.18 | 0.25 | 0.33 | 0.46 | 0.48 | 0.19 | -0.02 | 0.12 | 0.29 | 0.31 | 0.36 | 0.28 | -0.31 | -0.35 | -0.33 | -0.31 | -0.44 | -0.50 | -0.51 | -0.32 | -0.20 | -0.37 | -0.14 | -0.19 | -0.41 | -0.37 | 0.57 | 0.84 | 0.86 | 0.42 | 0.85 | 0.49 | 0.48 | 0.53 | 0.47 | 0.87 | 1.00 | 0.39 | 0.31 | 0.37 | 0.52 | 0.56 | 0.32 | -0.46 | 0.00 | -0.48 | 0.36 |
| NIKKEI 225 | 0.20 | 0.12 | 0.14 | 0.23 | 0.14 | 0.02 | 0.14 | 0.16 | 0.18 | 0.09 | 0.13 | 0.17 | 0.17 | 0.15 | 0.20 | 0.21 | 0.19 | 0.51 | 0.16 | 0.23 | 0.31 | 0.31 | 0.25 | 0.07 | 0.20 | 0.28 | 0.23 | 0.19 | 0.15 | -0.07 | -0.04 | -0.02 | -0.05 | -0.13 | -0.17 | -0.20 | -0.04 | -0.46 | -0.14 | -0.34 | 0.03 | -0.21 | -0.22 | 0.16 | 0.42 | 0.45 | 0.67 | 0.47 | 0.04 | 0.03 | 0.15 | 0.30 | 0.44 | 0.39 | 1.00 | 0.28 | 0.26 | 0.44 | 0.52 | 0.32 | -0.32 | 0.08 | -0.29 | 0.30 |
| Euro | 0.36 | 0.26 | 0.31 | 0.35 | 0.27 | -0.04 | 0.28 | 0.27 | 0.39 | 0.27 | 0.20 | 0.05 | 0.13 | 0.19 | 0.31 | 0.31 | 0.31 | 0.23 | 0.34 | 0.22 | 0.37 | 0.38 | 0.55 | 0.48 | 0.23 | 0.36 | 0.39 | 0.30 | 0.21 | 0.04 | 0.02 | 0.04 | 0.04 | -0.08 | -0.10 | -0.12 | 0.04 | -0.04 | -0.08 | -0.07 | 0.10 | -0.13 | -0.16 | 0.10 | 0.29 | 0.31 | 0.20 | 0.32 | 0.06 | 0.03 | 0.06 | 0.19 | 0.29 | 0.31 | 0.28 | 1.00 | 0.80 | 0.64 | 0.61 | 0.62 | -0.56 | 0.82 | 0.11 | 0.69 |
| Norwegian Krone | 0.41 | 0.33 | 0.39 | 0.44 | 0.30 | 0.02 | 0.33 | 0.35 | 0.42 | 0.32 | 0.27 | 0.05 | 0.16 | 0.16 | 0.43 | 0.41 | 0.40 | 0.23 | 0.42 | 0.33 | 0.49 | 0.50 | 0.56 | 0.47 | 0.23 | 0.36 | 0.43 | 0.37 | 0.31 | -0.17 | -0.16 | -0.07 | -0.17 | -0.18 | -0.19 | -0.20 | -0.15 | -0.06 | -0.17 | -0.02 | -0.03 | -0.20 | -0.20 | 0.15 | 0.40 | 0.41 | 0.27 | 0.44 | 0.09 | 0.07 | 0.09 | 0.28 | 0.41 | 0.37 | 0.26 | 0.80 | 1.00 | 0.64 | 0.60 | 0.59 | -0.57 | 0.60 | -0.04 | 0.63 |
| New Zealand Dollar | 0.39 | 0.34 | 0.35 | 0.46 | 0.31 | -0.03 | 0.35 | 0.37 | 0.38 | 0.34 | 0.30 | 0.05 | 0.22 | 0.24 | 0.34 | 0.36 | 0.33 | 0.29 | 0.32 | 0.29 | 0.50 | 0.50 | 0.46 | 0.28 | 0.24 | 0.36 | 0.40 | 0.35 | 0.30 | -0.20 | -0.19 | -0.14 | -0.18 | -0.24 | -0.26 | -0.26 | -0.19 | -0.20 | -0.22 | -0.10 | -0.05 | -0.28 | -0.22 | 0.33 | 0.50 | 0.55 | 0.39 | 0.55 | 0.26 | 0.26 | 0.27 | 0.38 | 0.55 | 0.52 | 0.44 | 0.64 | 0.64 | 1.00 | 0.86 | 0.60 | -0.65 | 0.38 | -0.32 | 0.61 |
| Australian Dollar | 0.42 | 0.33 | 0.39 | 0.51 | 0.32 | -0.02 | 0.38 | 0.39 | 0.38 | 0.37 | 0.33 | 0.11 | 0.25 | 0.26 | 0.42 | 0.43 | 0.41 | 0.31 | 0.39 | 0.39 | 0.60 | 0.61 | 0.45 | 0.21 | 0.27 | 0.40 | 0.47 | 0.42 | 0.38 | -0.24 | -0.25 | -0.21 | -0.22 | -0.26 | -0.29 | -0.33 | -0.15 | -0.20 | -0.26 | -0.13 | -0.11 | -0.32 | -0.29 | 0.38 | 0.57 | 0.60 | 0.47 | 0.63 | 0.30 | 0.24 | 0.32 | 0.41 | 0.60 | 0.56 | 0.52 | 0.61 | 0.60 | 0.86 | 1.00 | 0.56 | -0.65 | 0.32 | -0.37 | 0.57 |
| British Pound | 0.31 | 0.22 | 0.29 | 0.36 | 0.23 | -0.02 | 0.27 | 0.27 | 0.38 | 0.24 | 0.19 | 0.02 | 0.17 | 0.20 | 0.30 | 0.35 | 0.34 | 0.29 | 0.36 | 0.28 | 0.39 | 0.38 | 0.45 | 0.35 | 0.22 | 0.28 | 0.34 | 0.25 | 0.18 | -0.15 | -0.10 | -0.05 | -0.11 | -0.24 | -0.23 | -0.20 | -0.14 | -0.11 | -0.26 | -0.07 | 0.03 | -0.20 | -0.18 | 0.16 | 0.30 | 0.35 | 0.25 | 0.31 | 0.12 | 0.12 | 0.11 | 0.25 | 0.36 | 0.32 | 0.32 | 0.62 | 0.59 | 0.60 | 0.56 | 1.00 | -0.55 | 0.41 | -0.15 | 0.46 |
| Canadian Dollar | -0.38 | -0.34 | -0.35 | -0.44 | -0.28 | 0.01 | -0.41 | -0.33 | -0.33 | -0.33 | -0.20 | -0.10 | -0.17 | -0.22 | -0.40 | -0.41 | -0.39 | -0.21 | -0.39 | -0.35 | -0.48 | -0.47 | -0.43 | -0.31 | -0.19 | -0.34 | -0.41 | -0.37 | -0.38 | 0.23 | 0.20 | 0.16 | 0.20 | 0.27 | 0.25 | 0.25 | 0.19 | 0.09 | 0.27 | 0.07 | 0.05 | 0.27 | 0.20 | -0.28 | -0.44 | -0.49 | -0.28 | -0.49 | -0.23 | -0.21 | -0.22 | -0.31 | -0.49 | -0.46 | -0.32 | -0.56 | -0.57 | -0.65 | -0.65 | -0.55 | 1.00 | -0.29 | 0.29 | -0.47 |
| Swiss Franc | 0.22 | 0.14 | 0.21 | 0.19 | 0.17 | -0.07 | 0.15 | 0.13 | 0.27 | 0.16 | 0.10 | -0.02 | 0.06 | 0.14 | 0.15 | 0.16 | 0.17 | 0.13 | 0.24 | 0.07 | 0.21 | 0.21 | 0.45 | 0.45 | 0.15 | 0.28 | 0.30 | 0.17 | 0.09 | 0.22 | 0.24 | 0.26 | 0.25 | 0.14 | 0.16 | 0.14 | 0.25 | 0.05 | 0.11 | 0.02 | 0.28 | 0.04 | 0.05 | -0.15 | 0.01 | 0.00 | 0.01 | 0.01 | -0.17 | -0.16 | -0.17 | -0.01 | -0.01 | 0.00 | 0.08 | 0.82 | 0.60 | 0.38 | 0.32 | 0.41 | -0.29 | 1.00 | 0.44 | 0.53 |
| Japanese Yen | -0.19 | -0.12 | -0.11 | -0.18 | -0.07 | 0.00 | -0.19 | -0.18 | -0.03 | -0.14 | -0.12 | -0.05 | -0.15 | -0.09 | -0.18 | -0.17 | -0.14 | -0.16 | -0.14 | -0.18 | -0.29 | -0.29 | 0.06 | 0.15 | -0.06 | -0.04 | -0.20 | -0.17 | -0.17 | 0.44 | 0.50 | 0.49 | 0.50 | 0.50 | 0.51 | 0.51 | 0.45 | 0.22 | 0.46 | 0.09 | 0.40 | 0.41 | 0.38 | -0.40 | -0.49 | -0.50 | -0.30 | -0.49 | -0.37 | -0.35 | -0.37 | -0.32 | -0.50 | -0.48 | -0.29 | 0.11 | -0.04 | -0.32 | -0.37 | -0.15 | 0.29 | 0.44 | 1.00 | -0.06 |
| Singapore Dollar | 0.32 | 0.24 | 0.32 | 0.37 | 0.27 | -0.03 | 0.29 | 0.32 | 0.33 | 0.29 | 0.24 | 0.06 | 0.20 | 0.15 | 0.27 | 0.30 | 0.27 | 0.24 | 0.26 | 0.20 | 0.33 | 0.32 | 0.46 | 0.40 | 0.13 | 0.32 | 0.32 | 0.19 | 0.19 | -0.09 | -0.12 | -0.06 | -0.11 | -0.12 | -0.14 | -0.13 | -0.04 | -0.06 | -0.13 | -0.04 | 0.01 | -0.13 | -0.13 | 0.23 | 0.38 | 0.37 | 0.32 | 0.39 | 0.15 | 0.19 | 0.18 | 0.29 | 0.35 | 0.36 | 0.30 | 0.69 | 0.63 | 0.61 | 0.57 | 0.46 | -0.47 | 0.53 | -0.06 | 1.00 |
| Eigenvalue | Pct of explained variance | Cumulative pct of explained variance | |
|---|---|---|---|
| comp 1 | 19.06 | 29.78 | 29.78 |
| comp 2 | 7.72 | 12.06 | 41.84 |
| comp 3 | 3.87 | 6.04 | 47.88 |
| comp 4 | 3.29 | 5.15 | 53.03 |
| comp 5 | 2.45 | 3.83 | 56.85 |
| comp 6 | 2.17 | 3.40 | 60.25 |
| comp 7 | 2.02 | 3.16 | 63.41 |
| comp 8 | 1.76 | 2.75 | 66.16 |
| comp 9 | 1.48 | 2.32 | 68.47 |
| comp 10 | 1.25 | 1.95 | 70.42 |
| comp 11 | 1.13 | 1.76 | 72.19 |
| comp 12 | 1.07 | 1.68 | 73.86 |
| comp 13 | 1.01 | 1.57 | 75.44 |
| comp 14 | 0.98 | 1.53 | 76.97 |
| comp 15 | 0.89 | 1.39 | 78.36 |
| comp 16 | 0.85 | 1.32 | 79.68 |
| comp 17 | 0.77 | 1.20 | 80.88 |
| comp 18 | 0.74 | 1.16 | 82.04 |
| comp 19 | 0.70 | 1.09 | 83.14 |
| comp 20 | 0.65 | 1.02 | 84.16 |
| comp 21 | 0.63 | 0.98 | 85.14 |
| comp 22 | 0.60 | 0.93 | 86.07 |
| comp 23 | 0.56 | 0.87 | 86.94 |
| comp 24 | 0.54 | 0.84 | 87.78 |
| comp 25 | 0.50 | 0.78 | 88.56 |
| comp 26 | 0.49 | 0.76 | 89.32 |
| comp 27 | 0.46 | 0.71 | 90.04 |
| comp 28 | 0.44 | 0.69 | 90.73 |
| comp 29 | 0.43 | 0.68 | 91.41 |
| comp 30 | 0.42 | 0.65 | 92.06 |
| comp 31 | 0.40 | 0.62 | 92.68 |
| comp 32 | 0.36 | 0.57 | 93.25 |
| comp 33 | 0.34 | 0.54 | 93.79 |
| comp 34 | 0.32 | 0.50 | 94.29 |
| comp 35 | 0.30 | 0.47 | 94.76 |
| comp 36 | 0.29 | 0.46 | 95.22 |
| comp 37 | 0.28 | 0.43 | 95.65 |
| comp 38 | 0.25 | 0.40 | 96.05 |
| comp 39 | 0.23 | 0.36 | 96.41 |
| comp 40 | 0.22 | 0.34 | 96.75 |
| comp 41 | 0.21 | 0.32 | 97.07 |
| comp 42 | 0.20 | 0.31 | 97.38 |
| comp 43 | 0.18 | 0.29 | 97.67 |
| comp 44 | 0.16 | 0.26 | 97.92 |
| comp 45 | 0.15 | 0.23 | 98.16 |
| comp 46 | 0.13 | 0.21 | 98.36 |
| comp 47 | 0.12 | 0.19 | 98.55 |
| comp 48 | 0.11 | 0.17 | 98.72 |
| comp 49 | 0.11 | 0.17 | 98.89 |
| comp 50 | 0.10 | 0.16 | 99.05 |
| comp 51 | 0.08 | 0.13 | 99.18 |
| comp 52 | 0.07 | 0.11 | 99.29 |
| comp 53 | 0.07 | 0.11 | 99.40 |
| comp 54 | 0.06 | 0.10 | 99.50 |
| comp 55 | 0.06 | 0.09 | 99.59 |
| comp 56 | 0.05 | 0.08 | 99.67 |
| comp 57 | 0.05 | 0.07 | 99.74 |
| comp 58 | 0.04 | 0.07 | 99.81 |
| comp 59 | 0.03 | 0.05 | 99.86 |
| comp 60 | 0.03 | 0.05 | 99.91 |
| comp 61 | 0.02 | 0.03 | 99.94 |
| comp 62 | 0.02 | 0.02 | 99.97 |
| comp 63 | 0.01 | 0.02 | 99.98 |
| comp 64 | 0.01 | 0.02 | 100.00 |
corused = cor(futures_data[, apply(futures_data != 0, 2, sum) > 10, drop = F])
Rotated_Results <- principal(corused, nfactors = 20, rotate = "varimax", score = TRUE)
Rotated_Factors <- round(Rotated_Results$loadings, 2)
Rotated_Factors <- as.data.frame(unclass(Rotated_Factors))
colnames(Rotated_Factors) <- paste("comp", 1:ncol(Rotated_Factors), sep = " ")
sorted_rows <- sort(Rotated_Factors[, 1], decreasing = TRUE, index.return = TRUE)$ix
Rotated_Factors <- Rotated_Factors[sorted_rows, ]
Rotated_Factors[abs(Rotated_Factors) < 0.3] <- NA
| comp 1 | comp 2 | comp 3 | comp 4 | comp 5 | comp 6 | comp 7 | comp 8 | comp 9 | comp 10 | comp 11 | comp 12 | comp 13 | comp 14 | comp 15 | comp 16 | comp 17 | comp 18 | comp 19 | comp 20 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 5 yr T-Notes US | 0.93 | |||||||||||||||||||
| 10yr T-Notes | 0.93 | |||||||||||||||||||
| Treasury Bonds | 0.86 | |||||||||||||||||||
| 2 yr T-Note US | 0.85 | |||||||||||||||||||
| Canadian Bond | 0.79 | |||||||||||||||||||
| Eurodollar | 0.74 | -0.45 | ||||||||||||||||||
| Euro-Bund | 0.43 | 0.67 | 0.44 | |||||||||||||||||
| Euro-Bobl | 0.41 | 0.79 | ||||||||||||||||||
| Gilts UK | 0.39 | 0.55 | 0.47 | |||||||||||||||||
| Euro-Schatz | 0.34 | 0.83 | ||||||||||||||||||
| Japanese Yen | 0.33 | 0.36 | ||||||||||||||||||
| Euribor | 0.87 | |||||||||||||||||||
| Euroswiss | 0.72 | |||||||||||||||||||
| Swiss Franc | 0.74 | |||||||||||||||||||
| Euro | 0.87 | |||||||||||||||||||
| Gold | 0.34 | 0.74 | ||||||||||||||||||
| Canadian Dollar | -0.61 | |||||||||||||||||||
| JGB Japan | 0.75 | |||||||||||||||||||
| British Pound | 0.74 | |||||||||||||||||||
| Silver | 0.32 | 0.73 | ||||||||||||||||||
| Norwegian Krone | 0.79 | |||||||||||||||||||
| Kerosene | 0.87 | |||||||||||||||||||
| Sugar | 0.67 | |||||||||||||||||||
| Coffee | 0.64 | |||||||||||||||||||
| Orange Juice | 0.98 | |||||||||||||||||||
| Natural Gas | 0.91 | |||||||||||||||||||
| Euroyen | 0.83 | |||||||||||||||||||
| Singapore Dollar | 0.70 | |||||||||||||||||||
| Corn | 0.72 | |||||||||||||||||||
| Canola | 0.77 | |||||||||||||||||||
| NIKKEI 225 | 0.78 | |||||||||||||||||||
| Soybean Meal | 0.82 | |||||||||||||||||||
| Lean Hoggs | 0.99 | |||||||||||||||||||
| Gas Oil | 0.65 | 0.40 | ||||||||||||||||||
| Platinum | 0.69 | |||||||||||||||||||
| Soybeans | 0.90 | |||||||||||||||||||
| Cocoa | 0.87 | |||||||||||||||||||
| Heating Oil | 0.89 | |||||||||||||||||||
| Hang Seng | 0.78 | |||||||||||||||||||
| New Zealand Dollar | 0.73 | |||||||||||||||||||
| Wheat | 0.59 | 0.36 | ||||||||||||||||||
| Soybean Oil | 0.74 | |||||||||||||||||||
| Brent Crude | 0.90 | |||||||||||||||||||
| Palladium | 0.66 | |||||||||||||||||||
| Aluminium | 0.77 | |||||||||||||||||||
| Zinc | 0.81 | |||||||||||||||||||
| Nickel | 0.72 | |||||||||||||||||||
| Gasoline | 0.72 | |||||||||||||||||||
| Copper LDN | 0.84 | |||||||||||||||||||
| Australian Dollar | 0.72 | |||||||||||||||||||
| Cotton | 0.73 | |||||||||||||||||||
| Lumber | 0.98 | |||||||||||||||||||
| Crude Oil | 0.88 | |||||||||||||||||||
| Copper NY | 0.79 | |||||||||||||||||||
| TSE Toronto | 0.71 | |||||||||||||||||||
| OMX 30 Stockholm | 0.62 | |||||||||||||||||||
| FTSE 100 UK | 0.81 | |||||||||||||||||||
| Russel 2000 E-Mini | 0.79 | |||||||||||||||||||
| CAC 40 France | 0.85 | |||||||||||||||||||
| DAX 30 | 0.82 | 0.34 | ||||||||||||||||||
| Eurostoxx | 0.85 | 0.30 | ||||||||||||||||||
| Nasdaq 100 Mini | 0.80 | |||||||||||||||||||
| Dow Jones | 0.85 | |||||||||||||||||||
| SP500 E-Mini | 0.30 | 0.89 |
We can now develop a simple futures trend following trading strategy, as outlined in the papers in the Exercise Introduction above. There are about $300 billion invested in such strategies! Of course we cannot develop here a sophisticated product, but with some more work…
We will do the following:
ma for this (try for example to see what this returns ma(1:10,2) ).shift for this.Here is the code:
signal_used = 0 * futures_data # just initialize the trading signal to be 0
# Take many moving Average (MA) Signals and let them 'vote' with their sign
# (+-1, e.g. long or short vote, for each signal)
MAfreq <- seq(10, 250, by = 20)
for (iter in 1:length(MAfreq)) signal_used = signal_used + sign(apply(futures_data,
2, function(r) ma(r, MAfreq[iter])))
# Now make sure we invest $1 every day (so the sum of the absolute values of
# the weights is 1 every day)
signal_used = t(apply(signal_used, 1, function(r) {
res = r
if (sum(abs(r)) != 0)
res = r/sum(abs(r))
res
}))
colnames(signal_used) <- colnames(futures_data)
# Now create the returns of the strategy for each futures time series
strategy_by_future <- scrub(shift(signal_used, 2) * futures_data) # signal 2 days ago
# finally, this is our futures trend following strategy
trading_strategy = apply(strategy_by_future, 1, sum)
names(trading_strategy) <- rownames(futures_data)
Let’s see how this strategy does:
Here is how this strategy has performed during this period:
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | 0.61 | 1.55 | 1.81 | -2.00 | 0.54 | 0.69 | 0.75 | 1.35 | 4.30 | 0.33 | -2.26 | -2.45 | 5.13 |
| 2002 | 0.20 | -0.44 | -2.61 | 1.01 | 0.39 | 1.72 | 2.06 | 1.65 | 3.38 | -2.50 | -1.27 | 3.07 | 6.64 |
| 2003 | 2.39 | 3.37 | -2.85 | -0.92 | 1.25 | -1.25 | 0.73 | -0.13 | -0.33 | 4.23 | 0.10 | 3.10 | 9.86 |
| 2004 | 1.22 | 3.16 | 0.06 | -1.66 | -0.13 | -1.40 | 3.00 | -2.75 | 4.36 | -0.77 | 0.98 | -0.07 | 5.91 |
| 2005 | -0.55 | 1.03 | 0.27 | -2.03 | -0.27 | 0.84 | 0.42 | 1.51 | 0.25 | -1.05 | 2.17 | 0.30 | 2.86 |
| 2006 | 2.00 | -0.87 | 2.05 | 3.85 | -0.30 | -1.63 | -0.76 | 0.00 | 0.60 | 2.23 | 0.50 | 1.17 | 9.05 |
| 2007 | 0.13 | -0.52 | -0.96 | 1.69 | 0.01 | 0.77 | -0.90 | -1.28 | 3.15 | 1.81 | -0.05 | 1.98 | 5.88 |
| 2008 | 2.52 | 5.71 | -3.06 | 0.36 | 2.38 | 4.06 | -4.41 | -1.66 | 5.35 | 14.30 | 3.88 | 1.61 | 34.20 |
| 2009 | 1.23 | 2.07 | -5.43 | -2.20 | -0.82 | -0.93 | 1.92 | 3.00 | 0.12 | 0.39 | 2.02 | 0.91 | 2.01 |
| 2010 | -3.39 | 0.19 | 3.88 | 1.10 | -5.04 | -2.45 | -1.27 | 0.01 | 2.31 | 3.59 | -1.06 | 6.41 | 3.75 |
| 2011 | 1.27 | 2.48 | -1.58 | 2.63 | -4.07 | -2.15 | 0.58 | -0.77 | 1.23 | -4.67 | 0.63 | -0.38 | -5.01 |
| 2012 | -0.94 | 0.20 | 0.34 | -0.12 | 1.57 | -1.80 | 1.35 | -0.33 | -0.74 | -0.92 | -0.36 | 0.13 | -1.65 |
| 2013 | 1.29 | -0.58 | 1.07 | 0.15 | 1.29 | 0.52 | 0.51 | -0.72 | 0.14 | 0.42 | 1.29 | 0.44 | 5.96 |
| 2014 | -1.12 | 0.80 | -0.11 | 0.54 | -0.41 | -0.16 | 0.69 | 0.96 | 0.89 | 0.52 | 2.53 | 2.64 | 7.98 |
| 2015 | 1.77 | -0.73 | 1.63 | -2.32 | 0.39 | -0.43 | 1.50 | -1.70 | 1.17 | 1.18 |
How does this compare with existing CTA products such as this one from Societe Generale? (Note: one can easily achieve a correlation of more than 0.8 with this specific product - as well as with many other ones)
Compare our strategy with this product
Questions
MAfreq<-seq(10,250,by=20) above does for example - but not only of course, the possibilities are endless)Answers
MAfreq sets the windwo from 1-250 with distance by 20 this should be the length of averaging so chaning it will change the output significantly and make the moving average even smoother(if the window is increased). after normalizing the program is iterating data to find the average from the window created and save it into a matrix. this will create an extra sequence of line which will be according to the data or returns provided.
Now you have seen how to develop some trading strategies that hedge funds have been using for centuries. Clearly this is only the very first step - as many of the online resources on technical indicators also suggest. Can you now explore more such strategies? How good a futures trend following hedge fund strategy can you develop? Let’s call this…. a class competition! Explore as much as you can and report your best strategy as we move along the course…
Here is for example something that can be achieved relatively easily…
Here is how this strategy has performed during this period:
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | 0.00 | 0.00 | 0.68 | -1.00 | 0.02 | -0.05 | 0.60 | 0.95 | 2.41 | 1.25 | -2.21 | -0.98 | 1.59 |
| 2002 | -0.56 | -0.18 | -0.81 | 0.21 | 1.09 | 1.92 | 1.85 | 1.25 | 1.75 | -0.93 | -0.68 | 2.76 | 7.85 |
| 2003 | 1.33 | 1.53 | -0.83 | 0.12 | 1.86 | -0.90 | -0.31 | -0.20 | -0.03 | 1.98 | 0.09 | 1.82 | 6.58 |
| 2004 | 0.76 | 1.90 | -0.07 | -1.83 | -0.19 | -0.32 | 0.33 | -1.02 | 1.32 | 0.19 | 1.33 | 0.26 | 2.62 |
| 2005 | -0.36 | 0.37 | 0.02 | -0.70 | 0.51 | 0.93 | 0.13 | 0.17 | 0.69 | -0.04 | 1.55 | 0.41 | 3.72 |
| 2006 | 1.21 | -0.04 | 2.10 | 2.03 | -0.42 | -0.17 | -0.89 | -0.54 | -0.15 | 0.95 | 0.71 | 0.73 | 5.61 |
| 2007 | 0.39 | -0.98 | -0.08 | 1.70 | 1.18 | 1.33 | -1.27 | -2.41 | 2.01 | 1.11 | 0.29 | 0.67 | 3.92 |
| 2008 | 2.60 | 2.96 | -0.98 | -0.37 | 0.69 | 1.68 | -1.97 | -0.14 | 1.78 | 4.35 | 1.62 | 0.73 | 13.57 |
| 2009 | 0.05 | 0.72 | -1.36 | -1.15 | 0.41 | -0.73 | 0.88 | 0.83 | 0.71 | -0.14 | 1.64 | -0.63 | 1.19 |
| 2010 | -1.26 | 0.47 | 1.34 | 0.77 | -1.30 | -0.49 | -0.45 | 1.10 | 1.04 | 1.67 | -0.89 | 2.38 | 4.38 |
| 2011 | 0.58 | 1.16 | -0.69 | 1.74 | -1.71 | -1.50 | 0.98 | 0.64 | 0.81 | -1.86 | 0.46 | 0.39 | 0.93 |
| 2012 | -0.29 | -0.15 | -0.05 | -0.10 | 1.27 | -1.08 | 0.66 | -0.25 | -0.22 | -0.77 | -0.18 | -0.13 | -1.31 |
| 2013 | 1.09 | -0.98 | 0.82 | -0.03 | 0.72 | 0.85 | 0.20 | -0.26 | 0.12 | 0.23 | 0.90 | 1.01 | 4.73 |
| 2014 | -1.33 | 0.46 | -0.12 | 0.06 | 0.32 | 0.42 | 0.01 | 1.15 | 1.85 | 0.68 | 2.07 | 1.49 | 7.24 |
| 2015 | 2.17 | -0.30 | 1.10 | -1.49 | 0.27 | 0.04 | 0.40 | -0.77 | 0.73 | 2.11 |
As always, have fun